Saddlepoint Approximations

Klappentext During the last 15 years, there has been a systematic development of saddlepoint approximations. They give a highly accurate expression for the tail of a distribution, not only in the center but also for very small tail probabilities. Saddlepoint Approximations provides a complete account of this systematic development, giving worked out examples and comprehensive mathematical techniques for further research in the field. It will be most useful to researchers, students in statistics, and consulting statisticians. Zusammenfassung This text explains the ideas behind the saddlepoint approximations as well as giving a detailed mathematical description of the subject. Some of the subjects treated are uniformity of the approximations, tests in exponential families and compound sums with applications in insurance mathematics. Inhaltsverzeichnis 1.: Basic notions 2.: Saddlepoint approximations for i.i.d. sums 3.: Asymptotic expansions of integrals 4.: Transformations of the basic approximation 5.: Tests in exponential families 6.: Uniform saddlepoint approximations 7.: Compound sums 8.: Alternative approximations 9.: Markov chains 10.: Non-standard situations Appendix: Algorithms List of symbols References

Dettagli sul prodotto

• Autori: J. L. Jensen, Jens L. Jensen, Jens L. (Associate Professor Jensen, Jens Ledet Jensen, Jensen Jens L.
• Editore: Oxford University Press
• Lingue: Inglese
• Formato: Copertina rigida
• Pubblicazione: 11.05.1995
• EAN: 9780198522959
• ISBN: 978-0-19-852295-9
• Pagine: 348
• Serie: Oxford Statistical Science Series; Oxford Statistical Science; Oxford Statistical Science Series; Oxford Statistical Science
• Categorie: Scienze naturali, medicina, informatica, tecnica > Matematica > Teoria delle probabilità, stocastica, statistica matematica; MATHEMATICS / Probability & Statistics / General, MATHEMATICS / History & Philosophy, Probability & statistics, Mathematical foundations, Probability and statistics