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General saddlepoint approximations in the bootstrap

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  • Wang, Suojin
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    Abstract

    In 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.

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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 13 (1992)
    Issue (Month): 1 (January)
    Pages: 61-66

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    Handle: RePEc:eee:stapro:v:13:y:1992:i:1:p:61-66

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    Related research

    Keywords: Autoregressive model beta distribution bootstrap Edgeworth expansion nonlinear statistics;

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    Cited by:
    1. Kathman, Steven J. & Terrell, George R., 2003. "Poisson approximation by constrained exponential tilting," Statistics & Probability Letters, Elsevier, vol. 61(1), pages 83-89, January.
    2. 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.
    3. 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.

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