Saddlepoint Series for Distribution Functions

  • John E. Kolassa
Part of the Lecture Notes in Statistics book series (LNS, volume 88)


Recall from §3 that calculating of distribution function approximations from Edgeworth density approximations was a simple matter. The Edgeworth series for the density is a linear combination of derivatives of the normal distribution function, and hence is easily integrated to give a corresponding cumulative distribution function approximation. This cumulative distribution function approximation inherits many good properties from the density approximation.


Tail Probability Normal Distribution Function Saddlepoint Approximation Tail Area Cumulant Generate Function 
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Copyright information

© Springer Science+Business Media New York 1994

Authors and Affiliations

  • John E. Kolassa
    • 1
  1. 1.Department of BiostatisticsUniversity of Rochester, School of Medicine and DentistryRochesterUSA

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