General Saddlepoint Approximations of Marginal Densities and Tail Probabilities

Gatto, Riccardo; Ronchetti, Elvezio

doi:10.1080/01621459.1996.10476935

Scientific article

English

General Saddlepoint Approximations of Marginal Densities and Tail Probabilities

ContributorsGatto, Riccardo; Ronchetti, Elvezio

Published inJournal of the American Statistical Association, vol. 91, no. 434, p. 666-673

Publication date1996

Abstract

Saddlepoint approximations of marginal densities and tail probabilities of general nonlinear statistics are derived. These are based on the expansion of the statistic up to the second order. Their accuracy is shown in a variety of examples, including logit and probit models and rank estimators for regression.

Keywords

Bootstrap
Logit model
Marginal distribution
M estimator
Probit model
Rank estimator
U statistic
Von Mises expansion

Affiliation entities

Faculté d'économie et de management / Research Center for Statistics

Citation (ISO format)

GATTO, Riccardo, RONCHETTI, Elvezio. General Saddlepoint Approximations of Marginal Densities and Tail Probabilities. In: Journal of the American Statistical Association, 1996, vol. 91, n° 434, p. 666–673. doi: 10.1080/01621459.1996.10476935

Identifiers

PID : unige:23218
DOI : 10.1080/01621459.1996.10476935

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General Saddlepoint Approximations of Marginal Densities and Tail Probabilities

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