Some aspects of saddlepoint approximations for non-parametric statistics
نویسندگان
چکیده
منابع مشابه
Saddlepoint Approximations for Extended Poisson Process Models
The saddlepoint approximation to the probabilities of a general time-homogenous birth process, as derived by Daniels 6 , is revisited. Of interest is the accuracy of the approximation for extended Poisson process models constructed from state-dependent birth processes. Numerical calculations are used to examine the accuracy of the probability approximation for a range of state-dependent models,...
متن کاملSaddlepoint Approximations for Affine Jump-Diffusion Models
Affine jump-diffusion (AJD) processes constitute a large and widely used class of continuoustime asset pricing models that balance tractability and flexibility in matching market data. The prices of e.g., bonds, options, and other assets in AJD models are given by extended pricing transforms that have an exponential-affine form; these transforms have been characterized in great generality by Du...
متن کاملImplementation of Saddlepoint Approximations to BootstrapDistributions .
In many situations, saddlepoint approximations can be used to replace Monte Carlo simulations to nd the boot-strap distribution of a statistic. We explain how boot-strap and permutation distributions can be expressed as conditional distributions and how methods for linear programming and for tting generalized linear models can be used to nd the saddlepoint approximations. If the statistic of in...
متن کاملOptimal Non-Parametric Prediction Intervals for Order Statistics with Random Sample Size
In many experiments, such as biology and quality control problems, sample size cannot always be considered as a constant value. Therefore, the problem of predicting future data when the sample size is an integer-valued random variable can be an important issue. This paper describes the prediction problem of future order statistics based on upper and lower records. Two different cases for the ...
متن کاملTopics in Non - Parametric Statistics
The subject of Nonparametric statistics is statistical inference applied to noisy observations of infinite-dimensional “parameters” like images and time-dependent signals. This is a mathematical area on the border between Statistics and Functional Analysis, the latter name taken in its “literal” meaning – as geometry of spaces of functions. What follows is the 8-lecture course given by the auth...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Bulletin of the Australian Mathematical Society
سال: 2001
ISSN: 0004-9727,1755-1633
DOI: 10.1017/s000497270001978x