Results 81 to 90 of about 908 (194)

Saddlepoint Approximation for the Least Squares Estimation in First-Order Autoregression [PDF]

, 2018
In an earlier article, Phillips (1978) extended Daniels' (1956) approximation to the density of a modified correlation coefficient to obtain a saddlepoint approximation to the density of the least squares estimator in the first order non-circular ...
Lieberman, Offer
core   +1 more source

The Empirical Saddlepoint Estimator

, 2017
Previous studies have shown that existing moment-based estimation approaches have poor small-sample performance in some applications. We propose an alternative that is based on the ESP (empirical saddlepoint) approximation of the solutions to the ...
Sowell, Fallaw, HOLCBLAT, Benjamin
core  

Saddlepoint approximation methods in financial engineering

, 2018
This book summarizes recent advances in applying saddlepoint approximation methods to financial engineering. It addresses pricing exotic financial derivatives and calculating risk contributions to Value-at-Risk and Expected Shortfall in credit portfolios
Yue Kuen Kwok, Wendong Zheng, Kwok, Yue Kuen, Zheng, Wendong   +3 more
core   +1 more source

Saddlepoint approximation in the linear structural relationship model

, 1995
It is shown that the joint maximum likelihood estimator of slope and intercept of the regression line in the classical (known error-variance ratio) linear structural relationship model can be represented as a solution of a two- dimensional M- equation ...
Penev, Spiridon
core   +1 more source

Efficient Bingham filtering based on saddlepoint approximations

2014 International Conference on Multisensor Fusion and Information Integration for Intelligent Systems (MFI), 2014
© 2014 IEEE. In this paper, we address the problem of developing computationally efficient recursive estimators on the periodic domain of orientations using the Bingham distribution. The Bingham distribution is defined directly on the unit hypersphere. As such, it is able to describe both large and small uncertainties in a unified framework.
Igor Gilitschenski, Gerhard Kurz, Simon J. Julier, Uwe D. Hanebeck   +3 more
openaire   +3 more sources

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.
Sowell, Fallaw
core  

Multivariate extensions of saddlepoint-based bootstrap and an empirical saddlepoint approximation method for smoothing survival functions under right-censoring

, 2022
Approximations are constantly used in statistics. The saddlepoint approximation is one of the asymptotic theories that was introduced to the eld of statistics by Daniels (1954).
Jeganathan, Pratheepa
core  

Laplace and saddlepoint approximations in high dimensions

Bernoulli
56 ...
Tang, Yanbo, Reid, Nancy
openaire   +3 more sources

Incorporating family disease history and controlling case-control imbalance for population-based genetic association studies. [PDF]

Bioinformatics, 2022
Zhuang Y, Wolford BN, Nam K, Bi W, Zhou W, Willer CJ, Mukherjee B, Lee S.   +7 more
europepmc   +1 more source

Construction of nonlinear filter algorithms using the saddlepoint approximation [PDF]

, 2006
Thesis (M. Eng.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2006.Includes bibliographical references (leaves 75-76).In this thesis we propose the use of the saddlepoint method to construct nonlinear ...
Amayo, Esosa O
core