Saddlepoint approximation for moment generating functions of truncated random variables

DOI10.1214/009053604000000689zbMath1068.62015arXivmath/0508605OpenAlexW2005473887MaRDI QIDQ2388340

Andrew T. A. Wood, Ronald W. Butler

Publication date: 12 September 2005

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0508605

zbMATH Keywords

saddlepoint approximationtilted distributiontruncated distributionexponentially convoluted

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (5)

Saddlepoint approximation for moment generating functions of truncated random variables ⋮ Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models ⋮ Saddlepoint approximations for affine jump-diffusion models ⋮ EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS ⋮ Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models

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