An Improved Saddlepoint Approximation Based on the Negative Binomial Distribution for the General Birth Process

Gordon K. Smyth and Heather M. Podlich
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Gordon K. Smyth: University of Queensland
Heather M. Podlich: University of Queensland

Computational Statistics, 2002, vol. 17, issue 1, No 2, 17-28

Abstract: Summary Daniels (JAP 1982) gave a saddlepoint approximation to the probabilities of a general birth process. This paper gives an improved approximation which is only slightly more complex than Daniels’ approximation and which has considerably reduced relative error in most cases. The new approximation has the characteristic that it is exact whenever the birth rates can be reordered into a linear increasing sequence.

Keywords: saddlepoint approximation; birth process; negative binomial distribution; binomial distribution; exponential tilting (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1007/s001800200088

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