Saddle point approximations to probabilities of sample mean deviations

DOI10.1007/BF02986899MaRDI QIDQ1366390zbMATH OpenFDO

Authors B. Ryauba

Publication date 30 October 1997

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02986899

zbMATH Keywords

conjugate variablesEsscher transformexponential centeringlarge deviationsLyapunov fractionssaddle point approximation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Large deviations (60F10) Asymptotic distribution theory in statistics (62E20)

Review text

Let \(X_n\), \(n\in\mathbb N\), be independent, possibly non-identically distributed random variables and define \(S_n=X_1+\dots+X_n\). Assume that all exponential moments \(E[\exp(tX_n)]\) with \(t>0\) and \(n\in\mathbb N\) are finite. Given \(a\in\mathbb R\) satisfying \(na>E[S_n]\) and \(P(S_n>na)>0\) for all \(n\in\mathbb N\), the author proves asymptotic approximations to the probability \(P(S_n\geq na)\) of a sample mean deviation. Let \(\tau_n\) be the argument minimizing \(t\mapsto E[\exp(t(S_n-na))]\) in \((0,\infty)\), and let \(\rho_n\) denote the minimal value. For \(j,n\in\mathbb N\), \(j\leq n\), consider random variables \(U_n\) and \(Y_{n,j}\) conjugate to \(S_n-na\) and \(X_j-a\), respectively, in the sense that their distributions are exponentially tilted using the densities \(\exp(\tau_n(S_n-na))/\rho_n\) and \(\exp(\tau_n(X_j-a))/r_{n,j}\) with \(r_{n,j}=E[\exp(\tau_n(X_j-a))]\). Assuming a so-called Petrov-type condition involving the characteristic functions of the \(Y_{n,j}\), the approximations of \(P(S_n\geq na)\) are derived in terms of \(\rho_n\), \(\tau_n\), the variance of \(U_n\), and the Lyapunov fractions of the \(Y_{n,j}\).

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Cites work

• Asymptotic Approximations to Distributions
• Asymptotic Expansions for Distributions of Sums of Independent Random Variables
• scientific article; zbMATH DE number 3504209 (Why is no real title available?)
• scientific article; zbMATH DE number 3207687 (Why is no real title available?)
• scientific article; zbMATH DE number 3258624 (Why is no real title available?)
• scientific article; zbMATH DE number 3406955 (Why is no real title available?)
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• Saddlepoint Approximations in Statistics

Cited in

(5)

• Saddlepoint approximation for moments of random variables
• Limiting saddlepoint relative errors in large deviation regions under purely Tauberian conditions
• The probability of a random deviation from a sample mean
• A Saddle Point Approximation for Certain Multivariate Tail Probabilities
• Saddlepoint approximations for Studentized compound Poisson sums with no moment conditions in audit sampling

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