Saddlepoint approximations for subordinator processes

DOI10.1080/00949655.2015.1100613MaRDI QIDQ5222458zbMATH OpenOpenAlexFDO

Authors Lu Ye

Publication date 1 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2015.1100613

zbMATH Keywords

saddlepoint approximationsubordinatortransition function

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Infinitely divisible distributions; stable distributions (60E07) Approximations to statistical distributions (nonasymptotic) (62E17) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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Cites work

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• A technique for computing the PDFs and CDFs of nonnegative infinitely divisible random variables
• Exact saddlepoint approximations
• Lévy Processes and Stochastic Calculus
• Saddlepoint Approximations in Statistics
• Saddlepoint Approximations to the CDF of Some Statistics with Nonnormal Limit Distributions
• Saddlepoint Approximations with Applications
• Saddlepoint approximations for continuous-time Markov processes
• Tail Probability Approximations
• Ultrafast subordinators and their hitting times

Cited in

(5)

• Saddlepoint approximations for continuous-time Markov processes
• Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing
• Nonparametric evaluation of the first passage time of degradation processes
• Saddlepoint expansions for sums of Markov dependent variables on a continuous state space
• Applying the saddlepoint approximation to bivariate stochastic processes

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