Asymptotic expansions at work

DOI10.1080/03461238.1995.10413953zbMath0826.62015OpenAlexW1989729737MaRDI QIDQ4844225

Jens Ledet Jensen

Publication date: 1995

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1995.10413953

zbMATH Keywords

saddlepoint approximationEdgeworth expansionslikelihood ratio statisticsnormal approximationsCramerextreme tail

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion ⋮ Large deviations approximations to distributions of the total distance of compound random walks with von Mises directions ⋮ A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion

Cites Work

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• Edgeworth expansions in functional limit theorems
• An Edgeworth expansion for simple linear rank statistics under the null- hypothesis
• On the validity of the formal Edgeworth expansion
• Standardized log-likelihood ratio statistics for mixtures of discrete and continuous observations
• On a formula for the distribution of the maximum likelihood estimator
• Approximations for compound Poisson and Pólya processes
• Uniform saddlepoint approximations
• Conditionality resolutions
• Asymptotic expansions for sums of weakly dependent random vectors
• Saddlepoint approximations to the distribution of the total claim amount in some recent risk models
• The modified signed likelihood statistic and saddlepoint approximations

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