Publication:
Explaining the saddlepoint approximation

Simple item page
dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorGoutis, Constantinos
dc.contributor.authorCasella, George
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadísticaes
dc.date.accessioned2011-04-13T18:20:51Z
dc.date.available2011-04-13T18:20:51Z
dc.date.issued1995-12
dc.description.abstractSaddlepoint approximations are powerful tools for obtaining accurate expressions for densities and distribution functions. \Ve give an elementary motivation and explanation of saddlepoint approximation techniques, stressing the connection with the familiar Taylor series expansions and the Laplace approximation of integrals. Saddlepoint methods are applied to the convolution of simple densities and, using the Fourier inversion formula, the saddlepoint approximation to the density of a random variable is derived. \Ve then apply the method to densities of sample means of iid random variables, and also demonstrate the technique for approximating the density of a maximum likelihood estimator in exponential families.es
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/10734
dc.language.isoenges
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometricses
dc.relation.ispartofseries95-63es
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadísticaes
dc.subject.otherLaplace methodes
dc.subject.otherMaximum likelihood estimatorses
dc.subject.otherMoment generating functionses
dc.subject.otherTaylor serieses
dc.titleExplaining the saddlepoint approximationes
dc.typeworking paper*
dspace.entity.typePublication
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
ws9563.pdf
Size:
299.37 KB
Format:
Adobe Portable Document Format
Download
Collections
DES - Working Papers. Statistics and Econometrics. WS