Limiting saddlepoint relative errors in large deviation regions under purely Tauberian conditions
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.
- Bounds for probabilities of small relative errors for empirical saddlepoint and bootstrap tail approximations
- A note on the tail accuracy of the univariate saddlepoint approximation
- Tail Exactness of Multivariate Saddlepoint Approximations
- Asymptotic accuracy of the saddlepoint approximation for maximum likelihood estimation
- Saddle point approximations to probabilities of sample mean deviations
- Tauberian property in saddlepoint approximations
- Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators
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- A Discrete L'Hopital's Rule
- A note on the tail accuracy of the univariate saddlepoint approximation
- A survey of exact inference for contingency tables. With comments and a rejoinder by the author
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- Exact saddlepoint approximations
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- Inversion Formulae for Characteristic Functions of Absolutely Continuous Distributions
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- Limiting saddlepoint relative errors in large deviation regions under purely Tauberian conditions
- NIST digital library of mathematical functions
- Reliabilities for feedback systems and their saddlepoint approximation.
- Saddle point approximation for the distribution of the sum of independent random variables
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- Saddlepoint Approximations with Applications
- Singularity Analysis of Generating Functions
- Slowly Varying Functions in the Complex Plane
- Small SampleLD50 Confidence Intervals Using Saddlepoint Approximations
- Statistical properties of the generalized inverse Gaussian distribution
- Tail Exactness of Multivariate Saddlepoint Approximations
- Tail Probability Approximations
- Tauberian Theory
- Uniform saddlepoint approximations
- Limiting saddlepoint relative errors in large deviation regions under purely Tauberian conditions
- Tauberian property in saddlepoint approximations
- Tail Exactness of Multivariate Saddlepoint Approximations
- Asymptotic expansions and saddlepoint approximations using the analytic continuation of moment generating functions
- Exponential and gamma form for tail expansions of first-passage distributions in semi-markov processes
- Residue expansions and saddlepoint approximations in stochastic models using the analytic continuation of generating functions
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