Tail Exactness of Multivariate Saddlepoint Approximations

DOI10.1111/1467-9469.00148zbMath0948.60008OpenAlexW1989983310MaRDI QIDQ4939927

Claudia Klüppelberg, Ole Eiler Barndorff-Nielsen

Publication date: 1 March 2000

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: http://mediatum.ub.tum.de/doc/1120539/document.pdf

zbMATH Keywords

saddlepoint approximationasymptotic normalityLegendre transformmoment generating function

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Large deviations (60F10)

Related Items (6)

Parameter estimation for multivariate diffusion systems ⋮ A reversion of the Chernoff bound ⋮ Building and Fitting Non‐Gaussian Latent Variable Models via the Moment‐Generating Function ⋮ Limiting saddlepoint relative errors in large deviation regions under purely Tauberian conditions ⋮ Asymptotic accuracy of the saddlepoint approximation for maximum likelihood estimation ⋮ Domains of attraction for exponential families.

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