One-step saddlepoint approximations for quantiles

DOI10.1016/0167-9473(94)00029-IzbMath0875.62065MaRDI QIDQ672434

Suojin Wang

Publication date: 28 February 1997

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

Conditional distributionFinite populationCornish-Fisher approximationQuantilesSaddlepoint methods

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (9)

A saddlepoint approximation for testing exponentiality against some increasing failure rate alternatives ⋮ Saddlepoint approximations to the distribution of the total distance of the multivariate isotropic and von Mises-Fisher random walks ⋮ Saddlepoint approximations to tail probabilities and quantiles of inhomogeneous discounted compound Poisson processes with periodic intensity functions ⋮ Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes ⋮ Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods ⋮ A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion ⋮ Saddlepoint approximations for some models of circular data ⋮ Higher-order approximations to the quantile of the distribution for a class of statistics in the first-order autoregression ⋮ A fixed-point method for the saddlepoint approximation quantile

Cites Work

• Unnamed Item
• Saddlepoint methods and statistical inference. With comments and a rejoinder by the author
• Saddlepoint quantiles and distribution curves with bootstrap applications
• Saddlepoint expansions for conditional distributions
• Saddlepoint approximations in resampling methods
• Saddle point approximation for the distribution of the sum of independent random variables
• The modified signed likelihood statistic and saddlepoint approximations
• Saddlepoint expansions in finite population problems
• Tail Probability Approximations
• Saddlepoint Approximations in Statistics

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