On the empirical approximation to quantiles from Lugannani-Rice saddlepoint formula

DOI10.1016/J.SPL.2024.110105MaRDI QIDQ6569437FDOQ6569437

Authors: Jorge M. Arevalillo 

Publication date: 9 July 2024

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

asymptoticssaddlepoint approximationCornish-FisherEdgeworth

Mathematics Subject Classification ID

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

Cites Work

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• Exploring the relation between the \(r^\ast\) approximation and the Edgeworth expansion
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• Higher-order approximations to the quantile of the distribution for a class of statistics in the first-order autoregression
• A second order approximation for the inverse of the distribution function of the sample mean.
• Moments and cumulants in the specification of distributions.

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