A new look at the relationship between Edgeworth expansion and saddlepoint approximation

Anna Clara Monti

Statistics & Probability Letters, 1993, vol. 17, issue 1, 49-52

Abstract: The Edgeworth expansion of the density of the sample mean is obtained, up to the second order, by expanding the saddlepoint approximation. This is achieved through an expansion of the saddlepoint which gives an explicit formula to the latter approximation.

Keywords: Edgeworth; expansion; saddlepoint; approximation; small; sample; asymptotics (search for similar items in EconPapers)
Date: 1993
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