Multivariate saddlepoint approximations in tail probability and conditional inference

Details Multivariate saddlepoint approximations in tail probability and conditional inference Multivariate saddlepoint approximations in tail probability and conditional inference

2010-11-26

arxiv.org/abs/1011.5775v1

Bernoulli 2010, Vol. 16, No. 4, 1191-1207

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.3150/09-BEJ237 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti

Scientific paper

10.3150/09-BEJ237

We extend known saddlepoint tail probability approximations to multivariate cases, including multivariate conditional cases. Our approximation applies to both continuous and lattice variables, and requires the existence of a cumulant generating function. The method is applied to some examples, including a real data set from a case-control study of endometrial cancer. The method contains less terms and is easier to implement than existing methods, while showing an accuracy comparable to those methods.

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