Multivariate saddlepoint approximations in tail probability and conditional inference
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Abstract: We extend known saddlepoint tail probability approximations to multivariate cases, including multivariate conditional cases. Our approximation applies to both continuous and lattice variables, and requires the existence of a cumulant generating function. The method is applied to some examples, including a real data set from a case-control study of endometrial cancer. The method contains less terms and is easier to implement than existing methods, while showing an accuracy comparable to those methods.
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Cites work
- scientific article; zbMATH DE number 3766847 (Why is no real title available?)
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Cited in
(11)- Parameter estimation for multivariate population processes: a saddlepoint approach
- Multivariate saddlepoint tail probability approximations
- Saddlepoint approximations for multinomial distributions,with applications to the joint
- A note on the tail accuracy of the univariate saddlepoint approximation
- A Saddle Point Approximation for Certain Multivariate Tail Probabilities
- Modified saddlepoint density estimates
- Applying the saddlepoint approximation to bivariate stochastic processes
- Approximate multivariate conditional inference using the adjusted profile likelihood
- Saddlepoint \(p\)-values for a class of tests for comparing competing risks with censored data
- On some connections between Esscher's tilting, saddlepoint approximations, and optimal transportation: a statistical perspective
- Saddle-point p-values and confidence intervals based on log-rank tests when dependent subunits of clustered survival data are randomized by random allocation design
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