General saddlepoint approximations of marginal densities and tail probabilities
- Gatto, Riccardo Department of Statistics, Stanford University, USA
- Ronchetti, Elvezio Istituto di finanza (IFin), Facoltà di scienze economiche, Università
- della Svizzera italiana, Svizzera
-
1995
Published in:
- Journal of the American statistical association. - American statistical association. - 1996, vol. 91, no. 434, p. 666-673
Bootstrap
logit model
marginal distribution
M-estimator
probit model
rank estimator
U-statistic
von Mises expansion
English
Saddlepoint approximations of marginal densities and tail probabilities of general nonlinear statistics are derived. They are based on the expansion of the statistic up to the second order. Their accuracy is shown in a variety of examples, including logit and probit models and rank estimators for regression.
- Language
-
- English
- Classification
- Economics
- Other electronic version
- License
- License undefined
- Identifiers
-
- RERO DOC 11922
- ARK ark:/12658/srd1318112
- Persistent URL
- https://n2t.net/ark:/12658/srd1318112
Statistics
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