Saddlepoint approximations for multivariate \(M\)-estimates with applications to bootstrap accuracy

DOI10.1007/s10463-006-0083-3zbMath1184.62017OpenAlexW2043630120MaRDI QIDQ1039835

Chris Field, John Robinson, Elvezio Ronchetti

Publication date: 23 November 2009

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-006-0083-3

zbMATH Keywords

empirical saddlepointrelative errorsStudentized \(M\)-estimatestail area approximationtilted bootstrap

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (6)

Nonparametric tests for multi-parameter \(M\)-estimators ⋮ Composite likelihood inference by nonparametric saddlepoint tests ⋮ Saddlepoint tests for accurate and robust inference on overdispersed count data ⋮ Higher order density approximations for solutions to estimating equations ⋮ Robust tests based on dual divergence estimators and saddlepoint approximations ⋮ PITMAN MEDAL

Cites Work

• On approximating probabilities for small and large deviations in \(R^{d1}\)
• Bounds for probabilities of small relative errors for empirical saddlepoint and bootstrap tail approximations
• Saddlepoint approximations and tests based on multivariate \(M\)-estimates.
• Saddlepoint approximations for marginal and conditional probabilities of transformed variables
• The density of multivariate \(M\)-estimates.
• Nonparametric Confidence Limits by Resampling Methods and Least Favorable Families
• On the relative accuracy of certain bootstrap procedures
• On the bootstrap saddlepoint approximations
• Partial Saddlepoint Approximations for Transformed Means
• The bootstrap and Edgeworth expansion
• Unnamed Item

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