Uniformity of Double Saddlepoint Conditional Probability Approximations
نویسندگان
چکیده
منابع مشابه
Autoregressive Lag—Order Selection Using Conditional Saddlepoint Approximations
A new method for determining the lag order of the autoregressive polynomial in regression models with autocorrelated normal disturbances is proposed. It is based on a sequential testing procedure using conditional saddlepoint approximations and permits the desire for parsimony to be explicitly incorporated, unlike penalty-based model selection methods. Extensive simulation results indicate that...
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 کاملA comparison of the accuracy of saddlepoint conditional cumulative distribution function approximations
Consider a model parameterized by a scalar parameter of interest and a nuisance parameter vector. Inference about the parameter of interest may be based on the signed root of the likelihood ratio statistic R. The standard normal approximation to the conditional distribution of R typically has error of order O(n−1/2), where n is the sample size. There are several modifications for R, which reduc...
متن کاملImplementation 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 کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 1998
ISSN: 0047-259X
DOI: 10.1006/jmva.1997.1711