A note on the tail accuracy of the univariate saddlepoint approximation

DOI10.5802/afst.734zbMath0790.62024OpenAlexW2334396307MaRDI QIDQ1209809

Claudia Klüppelberg, Ole Eiler Barndorff-Nielsen

Publication date: 16 May 1993

Published in: Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AFST_1992_6_1_1_5_0

zbMATH Keywords

convolution of densitiestail accuracyunivariate saddlepoint approximation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Distribution theory (60E99)

Related Items (8)

LARGE-LOSS BEHAVIOR OF CONDITIONAL MEAN RISK SHARING ⋮ Tail asymptotics of light-tailed Weibull-like sums ⋮ On location estimation for LARCH processes ⋮ Weighted averages and local polynomial estimation for fractional linear ARCH processes ⋮ On least squares estimation for long-memory lattice processes ⋮ Limiting saddlepoint relative errors in large deviation regions under purely Tauberian conditions ⋮ Extreme value theory for moving average processes with light-tailed innovations ⋮ Domains of attraction for exponential families.

Cites Work

• Uniform saddlepoint approximations
• Densities with Gaussian Tails
• Saddlepoint Approximations in Statistics
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