Saddlepoint approximations for subordinator processes

DOI10.1080/00949655.2015.1100613OpenAlexW2331515256MaRDI QIDQ5222458

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

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

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Cites Work

• Saddlepoint approximations for continuous-time Markov processes
• Ultrafast subordinators and their hitting times
• Saddlepoint Approximations with Applications
• Exact saddlepoint approximations
• Tail Probability Approximations
• Lévy Processes and Stochastic Calculus
• Saddlepoint Approximations to the CDF of Some Statistics with Nonnormal Limit Distributions
• A Technique for Computing the PDFs and CDFs of Nonnegative Infinitely Divisible Random Variables
• Saddlepoint Approximations in Statistics
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