One-step saddlepoint approximations for quantiles

DOI10.1016/0167-9473(94)00029-IMaRDI QIDQ672434zbMATH OpenFDO

Authors Suojin Wang

Publication date 28 February 1997

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-9473(94)00029-I

zbMATH Keywords

Conditional distributionCornish-Fisher approximationFinite populationQuantilesSaddlepoint methods

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3940411 (Why is no real title available?)
• Saddle point approximation for the distribution of the sum of independent random variables
• Saddlepoint approximations in resampling methods
• Saddlepoint Approximations in Statistics
• Saddlepoint expansions for conditional distributions
• Saddlepoint expansions in finite population problems
• Saddlepoint methods and statistical inference. With comments and a rejoinder by the author
• Saddlepoint quantiles and distribution curves with bootstrap applications
• Tail Probability Approximations
• The modified signed likelihood statistic and saddlepoint approximations

Cited in

(13)

• A saddlepoint approximation for testing exponentiality against some increasing failure rate alternatives
• Saddlepoint approximations to the distribution of the total distance of the multivariate isotropic and von Mises-Fisher random walks
• Saddlepoint approximations to tail probabilities and quantiles of inhomogeneous discounted compound Poisson processes with periodic intensity functions
• Higher-order approximations to the quantile of the distribution for a class of statistics in the first-order autoregression
• Saddlepoint Approximation for Sample Quantiles with Some Applications
• A fixed-point method for the saddlepoint approximation quantile
• A general approximation to quantiles
• scientific article; zbMATH DE number 2143284 (Why is no real title available?)
• Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods
• Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes
• On the empirical approximation to quantiles from Lugannani-Rice saddlepoint formula
• Saddlepoint approximations for some models of circular data
• A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion

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