A General Method for the Approximation of Tail Areas
Andrews, D. F.
Ann. Statist., Tome 1 (1973) no. 2, p. 367-372 / Harvested from Project Euclid
For a density function $f(x)$, the tail area $\alpha(x) = \int^\infty_x f(x) dx,$ may be approximated by $\hat{\alpha}(x) = \frac{f(x)}{g(x)} \cdot (K - 1)^{-1}\cdot\big\{1 + \frac{1}{2} \big(\frac{g'(x)}{g^2(x)} - (K)\big)\big\},$ where $g(x) = f(x)/f'(x)$, and $K = \lim_{x\rightarrow\infty} \{g'(x)/g^2(x)\}$. The formula requires only one constant and three function evaluations; $g$ and $g'$ are typically elementary functions. Such approximations are useful for programmed calculators or very small computers where only a few constants can be stored. The accuracy of the approximation is calculated for some common distributions. The approximation is very accurate for a large class of distributions.
Publié le : 1973-03-14
Classification:  60-04,  Tail areas,  significance levels,  probability approximations,  65D20
@article{1176342376,
     author = {Andrews, D. F.},
     title = {A General Method for the Approximation of Tail Areas},
     journal = {Ann. Statist.},
     volume = {1},
     number = {2},
     year = {1973},
     pages = { 367-372},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176342376}
}
Andrews, D. F. A General Method for the Approximation of Tail Areas. Ann. Statist., Tome 1 (1973) no. 2, pp.  367-372. http://gdmltest.u-ga.fr/item/1176342376/