Inverting a saddlepoint approximation

Jorge M. Arevalillo

Statistics & Probability Letters, 2003, vol. 61, issue 4, 421-428

Abstract: This paper is concerned with the inversion of a saddlepoint approximation for the tail probability of an asymptotically Normal statistic with cumulants expandable in powers of n-1/2. The inversion yields to an approximation for the quantile of the distribution of the statistic that is compared, both theoretically and numerically, with other well-known approximations, such as the normal one and the second-order Cornish-Fisher expansion.

Keywords: Edgeworth; expansion; Saddlepoint; approximation; Cornish-Fisher; expansion; Inversion (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (1)

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