Back
Texte intégral
Journal article

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

Versione pubblicata

License
License undefined
Identifiers
  • RERO DOC 11922
  • ARK ark:/12658/srd1318112
Persistent URL
https://n2t.net/ark:/12658/srd1318112
Statistics
Document views: 78 File downloads:
  • ronchetti_JASA_1996.pdf: 141