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On the Approximation of Saddlepoint Expansions in Statistics

Published online by Cambridge University Press:  11 February 2009

Offer Lieberman
Offer Lieberman
Affiliation:
Monash University
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Abstract

The saddlepoint approximation as developed by Daniels [3] is an extremely accurate method for approximating probability distributions. Econometric and statistical applications of the technique to densities of statistics of interest are often hindered by the requirements of explicit knowledge of the c.g.f. and the need to obtain an analytical solution to the saddlepoint defining equation. In this paper, we show the conditions under which any approximation to the saddlepoint is justified and suggest a convenient solution. We illustrate with an approximate saddlepoint expansion of the Durbin-Watson test statistic.

Type
Articles
Information
Econometric Theory , Volume 10 , Issue 5 , December 1994 , pp. 900 - 916
Copyright
Copyright © Cambridge University Press 1994

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