Multivariate saddlepoint tail probability approximations
نویسندگان
چکیده
منابع مشابه
General Saddlepoint Approximations of Marginal Densities and Tail Probabilities
Saddlepoint approximations of marginal densities and tail probabilities of general nonlinear statistics are derived. They 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.
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2003
ISSN: 0090-5364
DOI: 10.1214/aos/1046294465