Multivariate saddlepoint approximations in tail probability and conditional inference
Kolassa, John ; Li, Jixin
Bernoulli, Tome 16 (2010) no. 1, p. 1191-1207 / Harvested from Project Euclid
We extend known saddlepoint tail probability approximations to multivariate cases, including multivariate conditional cases. Our approximation applies to both continuous and lattice variables, and requires the existence of a cumulant generating function. The method is applied to some examples, including a real data set from a case-control study of endometrial cancer. The method contains less terms and is easier to implement than existing methods, while showing an accuracy comparable to those methods.
Publié le : 2010-11-15
Classification:  conditional probability,  saddlepoint approximation,  tail probability,  Watson’s lemma
@article{1290092902,
     author = {Kolassa, John and Li, Jixin},
     title = {Multivariate saddlepoint approximations in tail probability and conditional inference},
     journal = {Bernoulli},
     volume = {16},
     number = {1},
     year = {2010},
     pages = { 1191-1207},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1290092902}
}
Kolassa, John; Li, Jixin. Multivariate saddlepoint approximations in tail probability and conditional inference. Bernoulli, Tome 16 (2010) no. 1, pp.  1191-1207. http://gdmltest.u-ga.fr/item/1290092902/