منابع مشابه
The Empirical Saddlepoint Approximation for GMM Estimators
The empirical saddlepoint distribution provides an approximation to the sampling distributions for the GMM parameter estimates and the statistics that test the overidentifying restrictions. The empirical saddlepoint distribution permits asymmetry, non-normal tails, and multiple modes. If identification assumptions are satisfied, the empirical saddlepoint distribution converges to the familiar a...
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Barndorff-Nielsen’s formula (normed likelihood with constantinformation metric) has been proffered as an approximate conditional distribution for the maximum-likelihood estimate, based on likelihood functions. Asymptotic justifications are available and the formula coincides with the saddlepoint approximation in full exponential models. It is shown that the formula has wider application than is...
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A critical issue in the credit risk industry is the accurate, efficient and robust pricing of collateralized debt obligations (CDO) in a variety of mathematical models. These and many similar basket default products are very complex, due to characteristics of the large number of individual firms upon which they depend. Despite this complexity and because of their versatility, such products have...
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For an exponential linear model, the saddlepoint method gives accurate approximations for the density of the minimal sufficient statistic or maximum likelihood estimate, and for the corresponding distribution functions. In this paper we describe a simple numerical procedure that constructs such approximations for a real parameter in an exponential linear model, using only a two-pass calculation...
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We consider the saddlepoint approximation methods for pricing derivatives whose payoffs depend on the discrete realized variance of the underlying price process of a risky asset. Most of the earlier pricing models of variance products and volatility derivatives use the quadratic variation approximation as the continuous limit of the discrete realized variance. However, the corresponding discret...
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ژورنال
عنوان ژورنال: The American Statistician
سال: 1999
ISSN: 0003-1305
DOI: 10.2307/2686100