Gatto, Riccardo (2015). Saddlepoint approximations. In: StatsRef: Statistics Reference Online (pp. 1-7). Wiley 10.1002/9781118445112.stat01796.pub2
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The saddlepoint method provides accurate approximations for the distributions of many test statistics, estimators and for important probabilities arising in various stochastic models. The saddlepoint approximation is a large deviations technique which is substantially more accurate than limiting normal or Edgeworth approximations, especially in presence of very small sample sizes or very small probabilities. The outstanding accuracy of the saddlepoint approximation
can be explained by the fact that it has bounded relative error.
Item Type: |
Book Section (Encyclopedia Article) |
|---|---|
Division/Institute: |
08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science |
UniBE Contributor: |
Gatto, Riccardo |
Subjects: |
500 Science > 510 Mathematics |
Publisher: |
Wiley |
Language: |
English |
Submitter: |
Lutz Dümbgen |
Date Deposited: |
07 Apr 2016 10:49 |
Last Modified: |
05 Dec 2022 14:53 |
Publisher DOI: |
10.1002/9781118445112.stat01796.pub2 |
BORIS DOI: |
10.7892/boris.77827 |
URI: |
https://boris.unibe.ch/id/eprint/77827 |
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