Tail Probability Approximations
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- On the validity of Edgeworth and saddlepoint approximations
- An example in which the Lugannani - Rice saddlepoint formula fails
- Some alternatives to Edgeworth
- Saddlepoint approximations for marginal and conditional probabilities of transformed variables
- Order estimates for the exact Lugannani-Rice expansion
Cited in
(only showing first 100 items - show all)- Bias-adjusted estimation in the ARX(1) model
- The convergence rate for the strong law of large numbers: General lattice distributions
- Asymptotic expansions for large deviation probabilities in the strong law of large numbers
- Small sample approximations for spacing statistics
- Saddlepoint approximations to the two-sample permutation tests
- Saddlepoint approximations to option prices
- On large deviation expansion of distribution of maximum likelihood estimator and its application in large sample estimation
- Bootstrapping binomial confidence intervals
- On multidimensional expansions of distributions of sums by the saddle point method
- Saddle point approximations to probabilities of sample mean deviations
- Multivariate saddlepoint tail probability approximations
- Inverting a saddlepoint approximation.
- Reliabilities for feedback systems and their saddlepoint approximation.
- On a centered Poisson approximation
- Saddlepoint approximation at the edges of a conditional sample space
- Improving Poisson approximations through tilting and expansion
- Classification error analysis in stereo vision
- Exact and higher-order properties of the MLE in spatial autoregressive models, with applications to inference
- Differentiated logdensity approximants
- Diffusion-type models with given marginal distribution and autocorrelation function
- A fully polynomial-time approximation scheme for approximating a sum of random variables
- Poisson approximation by constrained exponential tilting.
- Asymptotic expansions for large deviation probabilities of noncentral generalized chi-square distributions
- Asymptotic normality with small relative errors of posterior probabilities of half-spaces
- Small sample asymptotics: A review with applications to robust statistics
- Exploring the relation between the \(r^\ast\) approximation and the Edgeworth expansion
- Saddlepoint approximation for moments of random variables
- Approximations to the distribution of sum of independent non-identically gamma random variables
- Modified branching process and saddlepoint approximations
- Improved methods of hazard rate function calculation using saddlepoint approximations
- Asymptotic approximations for some distributions of ratios
- Saddlepoint approximation for the generalized inverse Gaussian Lévy process
- On the distribution of the sum of independent and non-identically extended exponential random variables
- Saddlepoint approximations for affine jump-diffusion models
- Approximations of the cumulative distribution function for infinite weighted sum of random variables
- Limiting saddlepoint relative errors in large deviation regions under purely Tauberian conditions
- Converting observed likelihood functions to tail probabilities
- Saddlepoint approximation for moment generating functions of truncated random variables
- Tail approximations to the density function in EVT
- Saddlepoint approximations to option price in a general equilibrium model
- Computation of distribution functions from likelihood information near observed data
- Continuity corrections for integer-valued saddlepoint approximations
- Higher-order approximations to the quantile of the distribution for a class of statistics in the first-order autoregression
- Order estimates for the exact Lugannani-Rice expansion
- Improved measures of the spread of data for some unknown complex distributions using saddlepoint approximations
- Saddlepoint approximations for stopped-sum distributions
- Saddlepoint approximations to option price in a regime-switching model
- Saddlepoint and estimated saddlepoint approximations for optimal unit root tests
- Directional tests and statistical frames
- Approximate and estimated saddlepoint approximations
- A Note on Testing for Serial Correlation in Large Number of Small Samples Using Tail Probability Approximations
- Approximating the distribution of Greenwood's statistic
- Classification of Probability Laws by Tail Behavior
- scientific article; zbMATH DE number 3881571 (Why is no real title available?)
- One-sample location test based on the sign and Wilcoxon signed-rank tests
- Saddlepoint Approximation for Sample Quantiles with Some Applications
- A Proof of the Asymptotic Equivalence of Two-Tail Probability Approximations
- The power of the modified Wilcoxon rank-sum test for the one-sided alternative
- scientific article; zbMATH DE number 4161890 (Why is no real title available?)
- Saddlepoint approximations for nonlinear statistics
- Sample Size and Power Calculations for Left-Truncated Normal Distribution
- Saddlepoint approximations to the moments of multitype age-dependent branching processes, with applications
- Studentized bootstrap confidence intervals based onM-estimates
- General Saddlepoint Approximations: Application to the Anderson-Darling Test Statistic
- Saddlepoint Approximations for a Product and Its Application
- A comparative study of confidence intervals for negative binomial proportion
- Saddlepoint approximations to the limiting distribution of the modified Anderson-Darling test statistic
- Approximations for the probability in the tails of the binomial distribution (Corresp.)
- The higher order large-deviation approximation for the distribution of the sum of independent discreterandom variables
- The higher order large-deviation approximation for the distribution of the sum of independent discreterandom variables
- Some alternatives to Edgeworth
- Saddlepoint confidence intervals for variance components
- Saddlepoint approximations for P-values of some tests of covariance matrices
- Multivariate Saddlepoint test for the wrapped normal model
- Bayesian prediction of waiting times in stochastic models
- Inference for the Sharpe ratio using a likelihood-based approach
- Exact likelihood inference in group interaction network models
- Improved Error Bounds for Genetic Distances from Dna Sequences
- Likelihood and higher‐order approximations to tail areas: A review and annotated bibliography
- A Note on Determining thep-Value of Bartlett's Test of Homogeneity of Variances
- scientific article; zbMATH DE number 1916659 (Why is no real title available?)
- Saddlepoint approximations for the probability of ruin in finite time
- Uniform validity of saddlepoint expansion on compact sets
- scientific article; zbMATH DE number 934444 (Why is no real title available?)
- The expected shortfall of quadratic portfolios with heavy-tailed risk factors
- Approximating the tail probabilities of the longest run in a sequence of Bernoulli trials
- Asymptotic tail approximations for some nonparametric test statistics
- Exponential and gamma form for tail expansions of first-passage distributions in semi-markov processes
- Stochastic entropy production in diffusive systems
- Small sample inference for exponential survival times with heavy right-censoring
- Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators
- Saddlepoint approximations for subordinator processes
- Backtesting extreme value theory models of expected shortfall
- Distribution approximation and modelling via orthogonal polynomial sequences
- Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications
- Applying the saddlepoint approximation to bivariate stochastic processes
- A Wiener Germ approximation of the noncentral chi square distribution and of its quantiles
- A saddlepoint approximation to the distribution of the sum of independent non‐identically beta random variables
- Residue expansions and saddlepoint approximations in stochastic models using the analytic continuation of generating functions
- On modified Anderson-Darling test statistics with asymptotic properties
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