Saddlepoint Approximations to the CDF of Some Statistics with Nonnormal Limit Distributions

DOI10.2307/2290351zbMATH Open0773.62008OpenAlexW4250135597MaRDI QIDQ5288926FDOQ5288926

James G. Booth, R. W. Butler, Andrew T. A. Wood

Publication date: 28 October 1993

Full work available at URL: https://doi.org/10.2307/2290351

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zbMATH Keywords

random walkcumulative distribution functionfirst passage time distributioncumulant generating functionsaddlepoint approximationsinverse Gaussiangeneralized approximationsgeneralized Lugannani-Rice formulageneralized Skovgaard formulalinear combination of chi-squared variables

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Approximations to statistical distributions (nonasymptotic) (62E17)

Cited In (29)

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• Likelihood and higher‐order approximations to tail areas: A review and annotated bibliography
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• Computation of VaR for portfolios in intensity models
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• Asymptotic accuracy of the saddlepoint approximation for maximum likelihood estimation
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• Exact and higher-order properties of the MLE in spatial autoregressive models, with applications to inference
• Miscellanea. Saddlepoint approximations for distributions of quadratic forms in normal variables
• An example in which the Lugannani - Rice saddlepoint formula fails
• General Saddlepoint Approximations: Application to the Anderson-Darling Test Statistic
• Saddlepoint approximations for subordinator processes
• Saddlepoint approximations for the doubly noncentral \(t\) distribution
• Saddlepoint approximations for affine jump-diffusion models
• Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance
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• Reliabilities for feedback systems and their saddlepoint approximation.
• Saddlepoint confidence intervals for variance components
• Building and Fitting Non‐Gaussian Latent Variable Models via the Moment‐Generating Function
• Improving Poisson approximations through tilting and expansion
• A numerical comparison of the normal and some saddlepoint approximations to a distribution-free test for stochastic ordering in the competing risks model
• On modified Anderson-Darling test statistics with asymptotic properties

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