Saddlepoint expansions in linear regression.

DOI10.1006/jmva.2001.2047zbMath1043.62007OpenAlexW2060675298MaRDI QIDQ1867142

Silvelyn Zwanzig, Alexander V. Ivanov

Publication date: 2 April 2003

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.2001.2047

zbMATH Keywords

characteristic functionhigher order asymptoticsresidual sum of squaresF-statisticindirect Edgeworth expansion

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Approximations to statistical distributions (nonasymptotic) (62E17)

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Cites Work

• On approximating probabilities for small and large deviations in \(R^{d1}\)
• Edgeworth expansion in regression models
• Saddlepoint approximations for marginal and conditional probabilities of transformed variables
• An asymptotic expansion of the distribution of least squares estimators in the nonlinear regression model
• Asymptotic expansion for weighted least squares in linear regression models
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