منابع مشابه
Implementation of saddlepoint approximations in resampling problems
In many situations saddlepoint approximations can replace the Monte Carlo simulation typically used to nd the bootstrap distribution of a statistic. We explain how bootstrap and permutation distributions can be expressed as conditional distributions and how methods for linear programming and for tting generalized linear models can be used to nd saddlepoint approximations to these distributions....
متن کاملSaddlepoint Approximations for Extended Poisson Process Models
The saddlepoint approximation to the probabilities of a general time-homogenous birth process, as derived by Daniels 6 , is revisited. Of interest is the accuracy of the approximation for extended Poisson process models constructed from state-dependent birth processes. Numerical calculations are used to examine the accuracy of the probability approximation for a range of state-dependent models,...
متن کاملImplementation of Saddlepoint Approximations to BootstrapDistributions .
In many situations, saddlepoint approximations can be used to replace Monte Carlo simulations to nd the boot-strap distribution of a statistic. We explain how boot-strap and permutation distributions can be expressed as conditional distributions and how methods for linear programming and for tting generalized linear models can be used to nd the saddlepoint approximations. If the statistic of in...
متن کاملSaddlepoint Approximations for Affine Jump-Diffusion Models
Affine jump-diffusion (AJD) processes constitute a large and widely used class of continuoustime asset pricing models that balance tractability and flexibility in matching market data. The prices of e.g., bonds, options, and other assets in AJD models are given by extended pricing transforms that have an exponential-affine form; these transforms have been characterized in great generality by Du...
متن کاملSaddlepoint Approximations for Expectations and an Application to CDO Pricing
We derive two types of saddlepoint approximations for expectations in the form of E[(X − K)], where X is the sum of n independent random variables and K is a known constant. We establish error convergence rates for both types of approximations in the i.i.d. case. The approximations are further extended to cover the case of lattice variables. An application of the saddlepoint approximations to C...
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ژورنال
عنوان ژورنال: The Annals of Mathematical Statistics
سال: 1954
ISSN: 0003-4851
DOI: 10.1214/aoms/1177728652