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Saddlepoint approximations for bivariate distributions

Published online by Cambridge University Press:  14 July 2016

Suojin Wang
Suojin Wang*
Affiliation:
Southern Methodist University
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Abstract

A saddlepoint approximation is derived for the cumulative distribution function of the sample mean of n independent bivariate random vectors. The derivations use Lugannani and Rice's saddlepoint formula and the standard bivariated normal distribution function. The separate versions of the approximation for the discrete cases are also given. A Monte Carlo study shows that the new approximation is very accurate.

Keywords

ASYMPTOTIC EXPANSIONBIVARIATE NORMAL DISTRIBUTIONBIVARIATE GAMMA DISTRIBUTIONCONFIDENCE REGION
Type
Research Papers
Information
Journal of Applied Probability , Volume 27 , Issue 3 , September 1990 , pp. 586 - 597
Copyright
Copyright © Applied Probability Trust 1990 

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