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Implementation of saddlepoint approximations in resampling problems

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Abstract

In many situations saddlepoint approximations can replace the Monte Carlo simulation typically used to find the bootstrap distribution of a statistic. We explain how bootstrap and permutation distributions can be expressed as conditional distributions and how methods for linear programming and for fitting generalized linear models can be used to find saddlepoint approximations to these distributions. The ideas are illustrated using an example from insurance.

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Authors
  1. Angelo J. Canty
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  2. A. C. Davison
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Canty, A.J., Davison, A.C. Implementation of saddlepoint approximations in resampling problems. Statistics and Computing 9, 9–15 (1999). https://doi.org/10.1023/A:1008801807768

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  • DOI: https://doi.org/10.1023/A:1008801807768

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