Saddlepoint approximation for moments of random variables

DOI10.1007/s11464-011-0128-7zbMath1271.62124OpenAlexW2043452836MaRDI QIDQ1946961

Xue Cheng, Kai Zhao, Jing-Ping Yang

Publication date: 10 April 2013

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-011-0128-7

zbMATH Keywords

saddlepoint approximationsum of i.i.d. random variableshigher moments

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

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• Saddlepoint approximations to option prices
• Saddlepoint methods and statistical inference. With comments and a rejoinder by the author
• Saddlepoint Approximations with Applications
• Saddle point approximation for the distribution of the sum of independent random variables
• Tail Probability Approximations
• Saddlepoint Approximations for Expectations and an Application to CDO Pricing
• Saddlepoint Approximations in Statistics

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