Results 161 to 170 of about 908 (194)

Saddlepoint approximations for tests of dispersion

Computational Statistics, 2012
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Saddlepoint Approximations

2011
Fil: Abril, Juan Carlos. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Tucumán; Argentina. Universidad Nacional de Tucumán. Facultad de Ciencias Económicas.
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Practical Saddlepoint Approximations

The American Statistician, 1999
Abstract This article illustrates univariate and conditional saddle-point density and distribution function approximations. The emphasis is on the applications and on the calculations needed to compute the approximations. Uses of the approximations include p value computations for some test statistics, approximations of finite mixture distributions ...
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Saddlepoint approximation of CreditRisk+

Journal of Banking & Finance, 2002
Abstract CreditRisk+ is an influential and widely implemented model of portfolio credit risk. As a close variant of models long used for insurance risk, it retains the analytical tractability for which the insurance models were designed. Value-at-risk (VaR) can be obtained via a recurrence-rule algorithm, so Monte Carlo simulation can be avoided ...
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On the empirical saddlepoint approximation

Biometrika, 1989
Summary: The properties of the saddlepoint approximation are investigated when the required cumulant generating function is obtained empirically. Properties of the empirical moment generating function and empirical cumulant generating function and derivatives of these processes which are needed for this study are derived first, in particular their ...
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Modified Branching Process and Saddlepoint Approximations

Lobachevskii Journal of Mathematics, 2021
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Partial Saddlepoint Approximations for Transformed Means

Scandinavian Journal of Statistics, 2002
The full saddlepoint approximation for real valued smooth functions of means requires the existence of the joint cumulant generating function for the entire vector of random variables which are being transformed. We propose a mixed saddlepoint‐Edgeworth approximation requiring the existence of a cumulant generating function for only part of the random ...
Jing, Bing Yi, Kolassa, JE, Robinson, J.
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Saddlepoint Approximations for the Difference of Order Statistics

Biometrika, 1995
Summary: Saddlepoint approximations for the distribution of the difference of order statistics from a continuous distribution are presented. The approximations are illustrated for the case of the exponential distribution where we can find the exact probability density function of the difference of order statistics, and for the case of the noncentral ...
Harvill, Jane L., Newton, H. Joseph
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Uniform saddlepoint approximations

Advances in Applied Probability, 1988
The validity of the saddlepoint expansion evaluated at the pointyis considered in the limitytending to ∞. This is done for the expansions of the density and of the tail probability of the meanofni.i.d. random variables and also for the expansion of the tail probability of a compound Poisson sum, whereNis a Poisson random variable.
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Implementation of saddlepoint approximations in resampling problems

Statistics and Computing, 1999
In many situations saddlepoint approximations can replace the Monte Carlo simulation typically used to find 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 fitting generalized linear models can be used to find ...
Angelo J. Canty, Anthony C. Davison
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