Inverting a saddlepoint approximation.

DOI10.1016/S0167-7152(02)00402-9MaRDI QIDQ1424457zbMATH OpenFDO

Authors Jorge M. Arevalillo

Publication date 14 March 2004

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-7152(02)00402-9

zbMATH Keywords

Edgeworth expansionCornish-Fisher expansionInversionSaddlepoint approximation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Approximations to statistical distributions (nonasymptotic) (62E17)

Recommendations

• Saddlepoint approximation to the distribution of general statistics
• HIGHER ORDER RELATIONS BETWEEN CORNISH-FISHER EXPANSIONS AND INVERSIONS OF SADDLEPOINT APPROXIMATIONS
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Cites work

• scientific article; zbMATH DE number 4100386 (Why is no real title available?)
• scientific article; zbMATH DE number 3338262 (Why is no real title available?)
• HIGHER ORDER RELATIONS BETWEEN CORNISH-FISHER EXPANSIONS AND INVERSIONS OF SADDLEPOINT APPROXIMATIONS
• Inverting an Edgeworth expansion
• Saddle point approximation for the distribution of the sum of independent random variables
• Saddlepoint Approximations in Statistics
• Saddlepoint approximations
• Tail Probability Approximations
• The bootstrap and Edgeworth expansion
• The modified signed likelihood statistic and saddlepoint approximations

Cited in

(6)

• Asymptotic expansions and saddlepoint approximations using the analytic continuation of moment generating functions
• On the empirical approximation to quantiles from Lugannani-Rice saddlepoint formula
• A second order approximation for the inverse of the distribution function of the sample mean.
• Correspondence between saddlepoint and probability distribution
• Higher-order approximations to the quantile of the distribution for a class of statistics in the first-order autoregression
• The asymptotic inversion of certain cumulative distribution functions

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