Tail Probability Approximations

DOI10.2307/1403269MaRDI QIDQ4721378zbMATH OpenOpenAlexFDO

Authors Henry E. Daniels

Publication date 1987

Published in International Statistical Review / Revue Internationale de Statistique (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1403269

zbMATH Keywords

asymptotic expansionsurvey paperlarge deviationssaddlepoint approximationEdgeworth type expansionlattice variablesapproximations for the tail probability of a sample mean

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20)

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• Saddlepoint approximation for moments of random variables
• Small sample approximations for spacing statistics
• Poisson approximation by constrained exponential tilting.
• Saddlepoint approximations in resampling analysis
• Saddlepoint approximation at the edges of a conditional sample space
• Improving Poisson approximations through tilting and expansion
• scientific article; zbMATH DE number 3881571 (Why is no real title available?)
• A numerical comparison of the normal and some saddlepoint approximations to a distribution-free test for stochastic ordering in the competing risks model
• Exponential and gamma form for tail expansions of first-passage distributions in semi-markov processes
• Approximating the extreme right-hand tail probability for the distribution of the number of patterns in a sequence of multi-state trials
• Classification of Probability Laws by Tail Behavior
• Asymptotic approximations for some distributions of ratios
• Bayesian prediction of waiting times in stochastic models
• Saddlepoint and estimated saddlepoint approximations for optimal unit root tests
• A saddlepoint approximation to the distribution of the sum of independent non‐identically beta random variables
• Studentized bootstrap confidence intervals based onM-estimates
• A Note on Determining thep-Value of Bartlett's Test of Homogeneity of Variances
• Computation of distribution functions from likelihood information near observed data
• On large deviation expansion of distribution of maximum likelihood estimator and its application in large sample estimation
• Saddlepoint approximations for P-values of some tests of covariance matrices
• Residue expansions and saddlepoint approximations in stochastic models using the analytic continuation of generating functions
• The power of the modified Wilcoxon rank-sum test for the one-sided alternative
• Asymptotic expansions for large deviation probabilities of noncentral generalized chi-square distributions
• Bivariate stopped-sum distributions using saddlepoint methods
• Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators
• On modified Anderson-Darling test statistics with asymptotic properties
• Advanced approach to estimate stopped sum geometric distribution in insurance system using saddle-point approximation
• Chain rules for multivariate cumulant coefficients
• A Proof of the Asymptotic Equivalence of Two-Tail Probability Approximations
• Backtesting extreme value theory models of expected shortfall
• A comparative study of confidence intervals for negative binomial proportion
• Multivariate Saddlepoint test for the wrapped normal model
• A saddlepoint approximation to the distribution of the sum of independent non-identically uniform random variables
• Saddlepoint approximations for the sum of independent non-identically distributed binomial random variables
• Saddlepoint approximations to the limiting distribution of the modified Anderson-Darling test statistic
• Saddlepoint approximations to the mean and variance of the extended hypergeometric distribution
• Asymptotic expansions for large deviation probabilities in the strong law of large numbers
• A Note on Testing for Serial Correlation in Large Number of Small Samples Using Tail Probability Approximations
• Order estimates for the exact Lugannani-Rice expansion
• Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications
• Bias-adjusted estimation in the ARX(1) model
• Saddlepoint approximations for the probability of ruin in finite time
• Limiting saddlepoint relative errors in large deviation regions under purely Tauberian conditions
• Stochastic entropy production in diffusive systems
• Bootstrapping binomial confidence intervals
• The convergence rate for the strong law of large numbers: General lattice distributions
• The higher order large-deviation approximation for the distribution of the sum of independent discreterandom variables
• Differentiated logdensity approximants
• Multivariate saddlepoint tail probability approximations
• Saddlepoint approximations to the moments of multitype age-dependent branching processes, with applications
• Saddlepoint Approximations for a Product and Its Application
• Nearly root-\(n\) approximation for regression quantile processes
• Likelihood and higher‐order approximations to tail areas: A review and annotated bibliography
• On the empirical approximation to quantiles from Lugannani-Rice saddlepoint formula
• Saddlepoint approximation for moment generating functions of truncated random variables
• Approximate and estimated saddlepoint approximations
• Asymptotic normality with small relative errors of posterior probabilities of half-spaces
• Distribution approximation and modelling via orthogonal polynomial sequences
• scientific article; zbMATH DE number 934444 (Why is no real title available?)
• The expected shortfall of quadratic portfolios with heavy-tailed risk factors
• Tail approximations to the density function in EVT
• Improved techniques for parametric and nonparametric evaluations of the first-passage time for degradation processes
• Directional tests and statistical frames
• Saddlepoint approximations for nonlinear statistics
• Tricks with metrics: combining statistics for improved inference in regression analysis
• Approximations to the distribution of sum of independent non-identically gamma random variables
• Classification error analysis in stereo vision
• Exploring the relation between the \(r^\ast\) approximation and the Edgeworth expansion
• Saddlepoint Approximation for Sample Quantiles with Some Applications
• Saddlepoint approximation for the generalized inverse Gaussian Lévy process
• Inverting a saddlepoint approximation.
• Tilted Edgeworth expansions for asymptotically normal vectors
• Saddlepoint approximations to option prices
• Approximate double-transform inversion when time is one of the variables
• scientific article; zbMATH DE number 1916659 (Why is no real title available?)
• Approximations for the probability in the tails of the binomial distribution (Corresp.)
• Improved measures of the spread of data for some unknown complex distributions using saddlepoint approximations
• Saddlepoint approximations to option price in a regime-switching model
• Small sample inference for exponential survival times with heavy right-censoring
• Improved methods of hazard rate function calculation using saddlepoint approximations
• Modified branching process and saddlepoint approximations
• Sample Size and Power Calculations for Left-Truncated Normal Distribution
• Small sample asymptotics: A review with applications to robust statistics
• Exact and higher-order properties of the MLE in spatial autoregressive models, with applications to inference
• Diffusion-type models with given marginal distribution and autocorrelation function
• On the distribution of the sum of independent and non-identically extended exponential random variables
• Saddlepoint approximations to the two-sample permutation tests
• Inference for the Sharpe ratio using a likelihood-based approach
• Converting observed likelihood functions to tail probabilities
• General Saddlepoint Approximations: Application to the Anderson-Darling Test Statistic
• On a centered Poisson approximation
• Exact likelihood inference in group interaction network models
• Applying the saddlepoint approximation to bivariate stochastic processes
• Saddlepoint approximations for subordinator processes
• Improved likelihood-based inference for the stationary AR(2) model
• Saddlepoint method for obtaining tail probability of Wilk's likelihood ratio test
• Improved Error Bounds for Genetic Distances from Dna Sequences
• Saddlepoint approximations for affine jump-diffusion models
• Tilted Euler characteristic densities for central limit random fields, with application to ``bubbles
• Numerical comparison of some saddlepoint approximations near the endpoints of the support

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