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Saddlepoint Approximation for the Distribution Function Near the Mean

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Abstract

We repair numerical difficulties in applying saddlepoint tail probability approximations when the ordinate at which the approximation is evaluated is near the mean of the distribution approximated. These modifications apply to double saddlepoint approximations to conditional distributions as well.

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Authors and Affiliations

  1. Department of Biostatistics, Shering-Plough Research Institute, 2000 Galloping Hill Road, Kenilworth, NJ, 07033-0530, U.S.A

    Bo Yang

  2. Department of Biostatistics, University of Rochester, Box 630, Rochester, NY, 14642, U.S.A

    John E. Kolassa

Authors
  1. Bo Yang
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  2. John E. Kolassa
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Yang, B., Kolassa, J.E. Saddlepoint Approximation for the Distribution Function Near the Mean. Annals of the Institute of Statistical Mathematics 54, 743–747 (2002). https://doi.org/10.1023/A:1022455116811

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  • DOI: https://doi.org/10.1023/A:1022455116811

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