General saddlepoint approximations in the bootstrap
AbstractIn Easton and Ronchetti (1986), a method of general saddlepoint approximations is proposed and shown useful, especially in the case of small sample sizes. A possible improvement of the method is suggested to prevent its potential deficiencies and increase its applicability. Easton and Ronchetti's method and its modified version are extended to bootstrap applications. These results provide a satisfactory answer to Davison and Hinkley's (1988) open question on the bootstrap distribution in the AR(1) model.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 13 (1992)
Issue (Month): 1 (January)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Boik, Robert J., 2005. "Second-order accurate inference on eigenvalues of covariance and correlation matrices," Journal of Multivariate Analysis, Elsevier, vol. 96(1), pages 136-171, September.
- Kathman, Steven J. & Terrell, George R., 2003. "Poisson approximation by constrained exponential tilting," Statistics & Probability Letters, Elsevier, vol. 61(1), pages 83-89, January.
- Glasserman, Paul & Kim, Kyoung-Kuk, 2009. "Saddlepoint approximations for affine jump-diffusion models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 15-36, January.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.