A note on the tail accuracy of the univariate saddlepoint approximation

Ole E. Barndorff-Nielsen; Claudia Klüppelberg

Annales de la Faculté des sciences de Toulouse : Mathématiques (1992)

  • Volume: 1, Issue: 1, page 5-14
  • ISSN: 0240-2963

How to cite

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Barndorff-Nielsen, Ole E., and Klüppelberg, Claudia. "A note on the tail accuracy of the univariate saddlepoint approximation." Annales de la Faculté des sciences de Toulouse : Mathématiques 1.1 (1992): 5-14. <http://eudml.org/doc/73296>.

@article{Barndorff1992,
author = {Barndorff-Nielsen, Ole E., Klüppelberg, Claudia},
journal = {Annales de la Faculté des sciences de Toulouse : Mathématiques},
keywords = {tail accuracy; univariate saddlepoint approximation; convolution of densities},
language = {eng},
number = {1},
pages = {5-14},
publisher = {UNIVERSITE PAUL SABATIER},
title = {A note on the tail accuracy of the univariate saddlepoint approximation},
url = {http://eudml.org/doc/73296},
volume = {1},
year = {1992},
}

TY - JOUR
AU - Barndorff-Nielsen, Ole E.
AU - Klüppelberg, Claudia
TI - A note on the tail accuracy of the univariate saddlepoint approximation
JO - Annales de la Faculté des sciences de Toulouse : Mathématiques
PY - 1992
PB - UNIVERSITE PAUL SABATIER
VL - 1
IS - 1
SP - 5
EP - 14
LA - eng
KW - tail accuracy; univariate saddlepoint approximation; convolution of densities
UR - http://eudml.org/doc/73296
ER -

References

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  1. [1] Balkema ( A.A.), Klüppelberg ( C.) and Resnick ( S.I.) .— Densities with Gaussian tails, Proc. London Math. Soc., 1990 (to appear). Zbl0789.60010MR1207549
  2. [2] Bingham ( N.H.), Goldie ( C.M.) and Teugels ( J.L.) .— Regular Variation, Cambridge University Press (1987). Zbl0617.26001MR898871
  3. [3] Daniels ( H.E.) .— Saddlepoint approximation in statistics, Ann. Math. Statist., 25 (1954) pp. 631-650. Zbl0058.35404MR66602
  4. [4] Jensen ( J.L.) .— Uniform saddlepoint approximations, Adv. Appl. Prob., 20 (1988) pp. 622-634. Zbl0656.60043MR955507
  5. [5] Jensen ( J.L.) .— Uniform saddlepoint approximations and log-concave densities, J. Roy. Statist. Soc.B, 53 (1989) pp. 157-172. Zbl0800.62081MR1094278

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