Partial Saddlepoint Approximations for Transformed Means

Authors: JING, BING-YI¹; KOLASSA, JOHN E.²; ROBINSON, JOHN³

Source: Scandinavian Journal of Statistics, Volume 29, Number 4, December 2002 , pp. 721-731(11)

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Abstract:

The full saddlepoint approximation for real valued smooth functions of means requires the existence of the joint cumulant generating function for the entire vector of random variables which are being transformed. We propose a mixed saddlepoint-Edgeworth approximation requiring the existence of a cumulant generating function for only part of the random vector considered, while retaining partially the relative nature of the errors. Tail probability approximations are obtained under conditions which enable the approximations to be used in resampling situations and hence to obtain a result on the relative error of coverage in the case of the bootstrap approximation to the confidence interval for the Studentized mean.

Keywords: bootstrap coverage; Laplace method; mixed saddlepoint-Edgeworth approximation; Studentized mean

Document Type: Research article

DOI: http://dx.doi.org/10.1111/1467-9469.00314

Affiliations: 1: Hong Kong University of Science and Technology, 2: University of Rochester, 3: University of Sydney, Australia

Publication date: 2002-12-01