Saddlepoint approximations for the probability mass functions of some nonparametric test statistics

Cyrille Joutard

Statistics & Probability Letters, 2022, vol. 188, issue C

Abstract: We give classical saddlepoint approximations for the probability mass functions of two nonparametric test statistics, the Kendall’s tau coefficient and the Wilcoxon signed-rank statistic. Then, we provide numerical comparisons, by comparing the exact probabilities with the saddlepoint approximation, a large deviation local limit theorem, an Edgeworth expansion and a normal approximation.

Keywords: Saddlepoint approximation; Edgeworth expansion; Wilcoxon signed-rank statistic; Kendall’s tau coefficient (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spl.2022.109544

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