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One-step saddlepoint approximations for quantiles

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  • Wang, Suojin

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  • Wang, Suojin, 1995. "One-step saddlepoint approximations for quantiles," Computational Statistics & Data Analysis, Elsevier, vol. 20(1), pages 65-74, July.
    • Handle: RePEc:eee:csdana:v:20:y:1995:i:1:p:65-74
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    Cited by:

    1. Gatto, Riccardo & Jammalamadaka, S. Rao, 2002. "A saddlepoint approximation for testing exponentiality against some increasing failure rate alternatives," Statistics & Probability Letters, Elsevier, vol. 58(1), pages 71-81, May.
    2. Gatto, Riccardo, 2008. "A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1948-1954, September.
    3. Riccardo Gatto, 2019. "Saddlepoint Approximation for Data in Simplices: A Review with New Applications," Stats, MDPI, vol. 2(1), pages 1-27, February.
    4. Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2016. "A robust confidence interval of historical Value-at-Risk for small sample," Documents de travail du Centre d'Economie de la Sorbonne 16034, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    5. Riccardo Gatto, 2012. "Saddlepoint Approximations to Tail Probabilities and Quantiles of Inhomogeneous Discounted Compound Poisson Processes with Periodic Intensity Functions," Methodology and Computing in Applied Probability, Springer, vol. 14(4), pages 1053-1074, December.
    6. Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "Measuring risks in the extreme tail: The extreme VaR and its confidence interval," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01317391, HAL.
    7. Jorge Arevalillo, 2014. "Higher-order approximations to the quantile of the distribution for a class of statistics in the first-order autoregression," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 291-310, June.
    8. Riccardo Gatto & Benjamin Baumgartner, 2014. "Value at Ruin and Tail Value at Ruin of the Compound Poisson Process with Diffusion and Efficient Computational Methods," Methodology and Computing in Applied Probability, Springer, vol. 16(3), pages 561-582, September.

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