On some connections between Esscher's tilting, saddlepoint approximations, and optimal transportation: a statistical perspective
From MaRDI portal
Publication:2684687
DOI10.1214/21-STS847OpenAlexW4312648938MaRDI QIDQ2684687
Davide La Vecchia, Andrej Ilievski, Elvezio Ronchetti
Publication date: 16 February 2023
Published in: Statistical Science (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/journals/statistical-science/volume-38/issue-1/On-Some-Connections-Between-Esschers-Tilting-Saddlepoint-Approximations-and-Optimal/10.1214/21-STS847.full
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- An extended empirical saddlepoint approximation for intractable likelihoods
- Fisher information distance: a geometrical reading
- Monge-Kantorovich depth, quantiles, ranks and signs
- Dual divergence estimators and tests: robustness results
- Multivariate saddlepoint approximations in tail probability and conditional inference
- Upper bounds for minimal distances in the central limit theorem
- Robust and accurate inference for generalized linear models
- Information geometry and its applications
- Robust tests based on dual divergence estimators and saddlepoint approximations
- Small sample asymptotic expansions for multivariate M-estimates
- Saddlepoint approximations and tests based on multivariate \(M\)-estimates.
- Tests of goodness of fit based on the \(L_2\)-Wasserstein distance
- Saddlepoint methods and statistical inference. With comments and a rejoinder by the author
- The geometry of asymptotic inference. With comments and a rejoinder by the author
- Saddlepoint tests for accurate and robust inference on overdispersed count data
- Multivariate saddlepoint tests on the mean direction of the von Mises-Fisher distribution
- Information geometry connecting Wasserstein distance and Kullback-Leibler divergence via the entropy-relaxed transportation problem
- Distribution and quantile functions, ranks and signs in dimension \(d\): a measure transportation approach
- A note on the regularity of optimal-transport-based center-outward distribution and quantile functions
- Saddlepoint approximations for short and long memory time series: a frequency domain approach
- Optimal transport for applied mathematicians. Calculus of variations, PDEs, and modeling
- Large deviations for M-estimators
- ROUTES TO HIGHER-ORDER ACCURACY IN PARAMETRIC INFERENCE
- The Monge–Ampère equation and its link to optimal transportation
- On the relationship between empirical likelihood and empirical saddlepoint approximation for multivariate M-estimators
- Normal Approximation and Asymptotic Expansions
- Expansions and Asymptotics for Statistics
- General Saddlepoint Approximations with Applications to L Statistics
- Saddlepoint approximations in resampling methods
- The Influence Curve and Its Role in Robust Estimation
- Regression Quantiles
- Asymptotic Statistics
- Higher-Order Infinitesimal Robustness
- An Introduction to Statistical Learning
- A survey of some recent applications of optimal transport methods to econometrics
- An Invitation to Statistics in Wasserstein Space
- One-dimensional empirical measures, order statistics, and Kantorovich transport distances
- Five lectures on optimal transportation: Geometry, regularity and applications
- Applied Asymptotics
- Saddlepoint tests for quantile regression
- A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
- Saddlepoint Approximations in Statistics
- Center-Outward R-Estimation for Semiparametric VARMA Models
- Robust Statistics
- Optimal Transport
- Robust Statistics
- The bootstrap and Edgeworth expansion
- Series approximation methods in statistics.
- Stable Asymptotics for M‐estimators
- Saddlepoint Approximations for Spatial Panel Data Models
