A Comparison of Saddlepoint Approximations for Marginal Distributions

Ronchetti, Elvezio

Scientific article

English

A Comparison of Saddlepoint Approximations for Marginal Distributions

ContributorsRonchetti, Elvezio

Published inComputing Science and Statistics, vol. 28, p. 228-234

Publication date1997

Abstract

We discuss some recent (nonparametric) approximations of tail probabilities of marginal distributions. They are based on saddlepoint techniques and have an error of order n-1. We compare their properties both from a theoretical and a computational point of view.

Keywords

Statistics

Affiliation entities

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

Citation (ISO format)

RONCHETTI, Elvezio. A Comparison of Saddlepoint Approximations for Marginal Distributions. In: Computing Science and Statistics, 1997, vol. 28, p. 228–234.

Identifiers

PID : unige:23219

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A Comparison of Saddlepoint Approximations for Marginal Distributions

We discuss some recent (nonparametric) approximations of tail probabilities of marginal distributions. They are based on saddlepoint techniques and have an error of order n-1. We compare their properties both from a theoretical and a computational point of view.

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