Gatto, Riccardo (2018). Saddlepoint approximation to the distribution of the total distance of the von MisesFisher continuous time random walk. Applied mathematics and computation, 324, pp. 285294. Elsevier 10.1016/j.amc.2017.12.030

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This article considers the random walk over Rp with any p ≥ 2, where a particle starts at the origin and progresses stepwise with fixed step lengths and von Mises–Fisher distributed step directions. The total number of steps follows a continuous time counting process. The saddlepoint approximation to the distribution of the distance between the origin and the position of the particle at any time is derived. Despite the pdimensionality of the random walk, the computation of the proposed saddlepoint approximation is onedimensional and thus simple. The high accuracy of the saddlepoint approximation is illustrated by a numerical comparison with Monte Carlo simulation.
Item Type: 
Journal Article (Original 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 
ISSN: 
00963003 
Publisher: 
Elsevier 
Language: 
English 
Submitter: 
Riccardo Gatto 
Date Deposited: 
20 May 2019 12:17 
Last Modified: 
29 Jan 2021 22:45 
Publisher DOI: 
10.1016/j.amc.2017.12.030 
BORIS DOI: 
10.7892/boris.126286 
URI: 
https://boris.unibe.ch/id/eprint/126286 