Limiting saddlepoint relative errors in large deviation regions under purely Tauberian conditions (Q2325375)

This work introduces weak conditions, expressed purely in terms of the moment generating function (i.e. purely Tauberian), which ensure the existence of positive finite relative errors -- especially in the extreme tails -- for the estimation of the density and survival functions by saddlepoint approximations. The developments of the article facilitate the practical implementation of the technique, especially in the (frequently met) situations of compound, regularly varying moment generating functions etc., where the density/survival function is intractable. It is worth noting that this methodological advance includes the case of continuous, integer and lattice valued random variables.