Inverting a saddlepoint approximation.

DOI10.1016/S0167-7152(02)00402-9zbMath1038.62013MaRDI QIDQ1424457

Jorge M. Arevalillo

Publication date: 14 March 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Cornish-Fisher expansionEdgeworth expansionInversionSaddlepoint approximation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items

Higher-order approximations to the quantile of the distribution for a class of statistics in the first-order autoregression

Cites Work

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• Inverting an Edgeworth expansion
• Saddle point approximation for the distribution of the sum of independent random variables
• The modified signed likelihood statistic and saddlepoint approximations
• HIGHER ORDER RELATIONS BETWEEN CORNISH-FISHER EXPANSIONS AND INVERSIONS OF SADDLEPOINT APPROXIMATIONS
• Tail Probability Approximations
• Saddlepoint Approximations in Statistics
• The bootstrap and Edgeworth expansion