Simulation-assisted saddlepoint approximation

DOI10.1080/00949650601119833MaRDI QIDQ3527736zbMATH OpenOpenAlexFDO

Authors R. W. Butler, Richard K. Sutton, James G. Booth, Pamela Ohman Strickland

Publication date 30 September 2008

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650601119833

zbMATH Keywords

\(p^*\)-formulaANOVAconditional inferencegamma parametersimportance samplingMonte Carlo errormultivariate \(t\)-distributionnuisance parameterssaddlepoint densitytesting homogeneitytesting simultaneous exponentiality

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17) Nonparametric estimation (62G05) Multivariate distribution of statistics (62H10) Monte Carlo methods (65C05)

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Cites work

• Bayesian computation and stochastic systems. With comments and reply.
• scientific article; zbMATH DE number 3990579 (Why is no real title available?)
• scientific article; zbMATH DE number 3393603 (Why is no real title available?)
• On a formula for the distribution of the maximum likelihood estimator
• On the probable error of the ratio of two gamma means
• Saddle point approximation for the distribution of the sum of independent random variables
• Saddlepoint approximations for P-values of some tests of covariance matrices
• Saddlepoint approximations for the Bartlett-Nanda-Pillai trace statistic in multivariate analysis
• Saddlepoint Approximations in Statistics
• Saddlepoint expansions for conditional distributions
• The conditional maximum likelihood estimator of the shape parameter in the gamma distribution

Cited in

(7)

• Multivariate saddlepoint tail probability approximations
• Saddlepoint approximation at the edges of a conditional sample space
• Approximate Monte Carlo Conditional Inference in Exponential Families
• Approximate multivariate conditional inference using the adjusted profile likelihood
• Simulating random variables using moment-generating functions and the saddlepoint approximation
• Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators
• On the use of the cumulant generating function for inference on time series

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