Multivariate saddlepoint approximations in tail probability and conditional inference

DOI10.3150/09-BEJ237zbMATH Open1207.62118OpenAlexW2023688798MaRDI QIDQ627296FDOQ627296

Authors Jixin Li, John Kolassa 

Publication date 28 February 2011

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1011.5775

zbMATH Keywords

tail probabilitysaddlepoint approximationconditional probabilityWatson's lemma

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Approximations to statistical distributions (nonasymptotic) (62E17)

Abstract: We extend known saddlepoint tail probability approximations to multivariate cases, including multivariate conditional cases. Our approximation applies to both continuous and lattice variables, and requires the existence of a cumulant generating function. The method is applied to some examples, including a real data set from a case-control study of endometrial cancer. The method contains less terms and is easier to implement than existing methods, while showing an accuracy comparable to those methods.

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Cites Work

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Cited In (11)

• Parameter estimation for multivariate population processes: a saddlepoint approach
• Multivariate saddlepoint tail probability approximations
• Saddlepoint approximations for multinomial distributions,with applications to the joint
• A note on the tail accuracy of the univariate saddlepoint approximation
• A Saddle Point Approximation for Certain Multivariate Tail Probabilities
• Modified saddlepoint density estimates
• Applying the saddlepoint approximation to bivariate stochastic processes
• Approximate multivariate conditional inference using the adjusted profile likelihood
• Saddlepoint \(p\)-values for a class of tests for comparing competing risks with censored data
• On some connections between Esscher's tilting, saddlepoint approximations, and optimal transportation: a statistical perspective
• Saddle-point p-values and confidence intervals based on log-rank tests when dependent subunits of clustered survival data are randomized by random allocation design

Uses Software

• Mathematica
• SAS

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