A note on the tail accuracy of the univariate saddlepoint approximation

DOI10.5802/AFST.734zbMATH Open0790.62024OpenAlexW2334396307MaRDI QIDQ1209809FDOQ1209809

Authors: Ole E. Barndorff-Nielsen, Claudia Klüppelberg 

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

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zbMATH Keywords

convolution of densitiestail accuracyunivariate saddlepoint approximation

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Saddlepoint Approximations in Statistics
• Title not available (Why is that?)
• Densities with Gaussian Tails
• Uniform saddlepoint approximations

Cited In (15)

• Tail asymptotics of light-tailed Weibull-like sums
• Limiting saddlepoint relative errors in large deviation regions under purely Tauberian conditions
• On least squares estimation for long-memory lattice processes
• Extreme value theory for moving average processes with light-tailed innovations
• Title not available (Why is that?)
• Uniform saddlepoint approximations
• Asymptotic accuracy of the saddlepoint approximation for maximum likelihood estimation
• Large-loss behavior of conditional mean risk sharing
• Tail Exactness of Multivariate Saddlepoint Approximations
• Tauberian property in saddlepoint approximations
• Continuity corrections for integer-valued saddlepoint approximations
• Domains of attraction for exponential families.
• Weighted averages and local polynomial estimation for fractional linear ARCH processes
• On location estimation for LARCH processes
• Saddlepoint approximation to gamma convolutions

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