Polynomially Adjusted Saddlepoint Density Approximations | Zendy

Serge B. Provost | Zendy; Susan Z. Sheng | Zendy

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Polynomially Adjusted Saddlepoint Density Approximations

Author(s) -

Serge B. Provost,

Susan Z. Sheng

Publication year - 2014

Publication title -

international journal of statistics and probability

Language(s) - English

Resource type - Journals

eISSN - 1927-7040

pISSN - 1927-7032

DOI - 10.5539/ijsp.v4n1p1

Subject(s) - mathematics , approximations of π , moment (physics) , polynomial , edgeworth series , probability density function , random variable , rational function , variable (mathematics) , distribution (mathematics) , function (biology) , mathematical optimization , statistics , mathematical analysis , physics , classical mechanics , evolutionary biology , biology

Improved density approximations are obtained by applying certain moment based polynomial adjustments to the saddlepoint approximation. The proposed technique relies on the saddlepoint approximation to the distribution function of a continuous random variable as well. Additionally, a hybrid density estimate is being introduced. Rational functions are also utilized as adjustments. Several numerical examples reveal that, overall, the methodologies that are advocated in this paper consistently produce more accurate distributional approximations.

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