Multivariate saddlepoint approximations in tail probability and conditional inference
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Publication:627296
DOI10.3150/09-BEJ237zbMATH Open1207.62118arXiv1011.5775OpenAlexW2023688798MaRDI QIDQ627296FDOQ627296
Authors: Jixin Li, John Kolassa 
Publication date: 28 February 2011
Published in: Bernoulli (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1011.5775
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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
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