Saddlepoint approximation for moment generating functions of truncated random variables
Butler, Ronald W. ; Wood, Andrew T. A.
Ann. Statist., Tome 32 (2004) no. 1, p. 2712-2730 / Harvested from Project Euclid
We consider the problem of approximating the moment generating function (MGF) of a truncated random variable in terms of the MGF of the underlying (i.e., untruncated) random variable. The purpose of approximating the MGF is to enable the application of saddlepoint approximations to certain distributions determined by truncated random variables. Two important statistical applications are the following: the approximation of certain multivariate cumulative distribution functions; and the approximation of passage time distributions in ion channel models which incorporate time interval omission. We derive two types of representation for the MGF of a truncated random variable. One of these representations is obtained by exponential tilting. The second type of representation, which has two versions, is referred to as an exponential convolution representation. Each representation motivates a different approximation. It turns out that each of the three approximations is extremely accurate in those cases “to which it is suited.” Moreover, there is a simple rule of thumb for deciding which approximation to use in a given case, and if this rule is followed, then our numerical and theoretical results indicate that the resulting approximation will be extremely accurate.
Publié le : 2004-12-14
Classification:  Exponentially convoluted,  saddlepoint approximation,  tilted distribution,  truncated distribution,  62E15,  62E17
@article{1107794884,
     author = {Butler, Ronald W. and Wood, Andrew T. A.},
     title = {Saddlepoint approximation for moment generating functions of truncated random variables},
     journal = {Ann. Statist.},
     volume = {32},
     number = {1},
     year = {2004},
     pages = { 2712-2730},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1107794884}
}
Butler, Ronald W.; Wood, Andrew T. A. Saddlepoint approximation for moment generating functions of truncated random variables. Ann. Statist., Tome 32 (2004) no. 1, pp.  2712-2730. http://gdmltest.u-ga.fr/item/1107794884/