Uniform saddlepoint approximations

DOI10.2307/1427038MaRDI QIDQ3803912zbMATH OpenOpenAlexFDO

Authors Jens Ledet Jensen

Publication date 1988

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1427038

zbMATH Keywords

Edgeworth approximationssaddlepoint approximationtail probability

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Limit theorems in probability theory (60F99) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(27)

• On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
• Uniform saddlepoint approximations for ratios of quadratic forms
• A note on the tail accuracy of the univariate saddlepoint approximation
• Convergence of the Gram-Charlier expansion after the normalizing Box-Cox transformation
• Uniformity of double saddlepoint conditional probability approximations
• Quadrature methods for computing distributions.
• Large-deviation probability and the local dimension of sets
• Asymptotic approximations for some distributions of ratios
• Asymptotic accuracy of the saddlepoint approximation for maximum likelihood estimation
• Limiting saddlepoint relative errors in large deviation regions under purely Tauberian conditions
• Domains of attraction for exponential families.
• Saddlepoint approximations
• Saddlepoint approximations to the distribution of the total claim amount in some recent risk models
• A passage time for greedy‐coloring cycles
• scientific article; zbMATH DE number 2151376 (Why is no real title available?)
• Likelihood and higher‐order approximations to tail areas: A review and annotated bibliography
• Convergence of the gram-charier expansion of the signed log likelihood ratio
• Asymptotic expansions at work
• Saddlepoint approximations for the probability of ruin in finite time
• Uniform validity of saddlepoint expansion on compact sets
• Saddlepoint expansions for sums of Markov dependent variables on a continuous state space
• Cramér-type moderate deviation for Studentized compound Poisson sum
• Tilted Edgeworth expansions for asymptotically normal vectors
• The extremal family generated by the Yule process
• Saddlepoint approximations in resampling analysis
• Bivariate stopped-sum distributions using saddlepoint methods
• On suprema of Lévy processes with light tails

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