Download or read book Saddlepoint Approximations written by Jens Ledet Jensen and published by Oxford University Press. This book was released on 1995 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explains the ideas behind the saddlepoint approximations as well as giving a detailed mathematical description of the subject and many worked out examples.
Download or read book Approximated and Estimated Saddlepoint Approximations written by Pamela Ann Ohman and published by . This book was released on 1997 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Saddlepoint Approximations with Applications written by Ronald W. Butler and published by Cambridge University Press. This book was released on 2007-08-16 with total page 548 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern statistical methods use complex, sophisticated models that can lead to intractable computations. Saddlepoint approximations can be the answer. Written from the user's point of view, this book explains in clear language how such approximate probability computations are made, taking readers from the very beginnings to current applications. The core material is presented in chapters 1-6 at an elementary mathematical level. Chapters 7-9 then give a highly readable account of higher-order asymptotic inference. Later chapters address areas where saddlepoint methods have had substantial impact: multivariate testing, stochastic systems and applied probability, bootstrap implementation in the transform domain, and Bayesian computation and inference. No previous background in the area is required. Data examples from real applications demonstrate the practical value of the methods. Ideal for graduate students and researchers in statistics, biostatistics, electrical engineering, econometrics, and applied mathematics, this is both an entry-level text and a valuable reference.
Download or read book Application of the Saddlepoint Approximation to Estimating the Variance of a Function written by Ying-ming Jou and published by . This book was released on 1997 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Saddlepoint Approximation Methods in Financial Engineering written by Yue Kuen Kwok and published by Springer. This book was released on 2018-02-16 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book summarizes recent advances in applying saddlepoint approximation methods to financial engineering. It addresses pricing exotic financial derivatives and calculating risk contributions to Value-at-Risk and Expected Shortfall in credit portfolios under various default correlation models. These standard problems involve the computation of tail probabilities and tail expectations of the corresponding underlying state variables. The text offers in a single source most of the saddlepoint approximation results in financial engineering, with different sets of ready-to-use approximation formulas. Much of this material may otherwise only be found in original research publications. The exposition and style are made rigorous by providing formal proofs of most of the results. Starting with a presentation of the derivation of a variety of saddlepoint approximation formulas in different contexts, this book will help new researchers to learn the fine technicalities of the topic. It will also be valuable to quantitative analysts in financial institutions who strive for effective valuation of prices of exotic financial derivatives and risk positions of portfolios of risky instruments.
Download or read book Analytic Combinatorics written by Philippe Flajolet and published by Cambridge University Press. This book was released on 2009-01-15 with total page 825 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analytic combinatorics aims to enable precise quantitative predictions of the properties of large combinatorial structures. The theory has emerged over recent decades as essential both for the analysis of algorithms and for the study of scientific models in many disciplines, including probability theory, statistical physics, computational biology, and information theory. With a careful combination of symbolic enumeration methods and complex analysis, drawing heavily on generating functions, results of sweeping generality emerge that can be applied in particular to fundamental structures such as permutations, sequences, strings, walks, paths, trees, graphs and maps. This account is the definitive treatment of the topic. The authors give full coverage of the underlying mathematics and a thorough treatment of both classical and modern applications of the theory. The text is complemented with exercises, examples, appendices and notes to aid understanding. The book can be used for an advanced undergraduate or a graduate course, or for self-study.
Download or read book Saddlepoint Approximations and Tests Based on Multivariate M estimates written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider multidimensional M-functional parameters defined by expectations of score functions associated with multivariate M-estimators and tests for hypotheses concerning multidimensional smooth functions of these parameters. We propose a test statistic suggested by the exponent in the saddlepoint approximation to the density of the function of the M-estimates. This statistic is analogous to the log likelihood ratio in the parametric case. We show that this statistic is approximately distributed as a chi-squared variate and obtain a Lugannani-Rice style adjustment giving a relative error of order n-1. We propose an empirical exponential likelihood statistic and consider a test based on this statistic. Finally we present numerical results for three examples including one in robust regression.
Download or read book Saddlepoint Approximation for the Least Squares Estimation in First order Autoregression written by Offer Lieberman and published by . This book was released on 1994 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Explaining the saddlepoint approximation written by Constantinos Goutis and published by . This book was released on 1995 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mathematical Statistics and Applications written by Marc Moore and published by IMS. This book was released on 2003 with total page 532 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Saddlepoint Approximations Edgeworth Expansions and Normal Approximations written by Jens Ledet Jensen and published by . This book was released on 1993 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Saddlepoint Approximation Near the Endpoints of the Support written by Rungao Jin and published by . This book was released on 1999 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Note on Exact Saddlepoint Approximation written by Jens Ledet Jensen and published by . This book was released on 1982 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Approximate Distributions of Order Statistics written by Rolf-Dieter Reiss and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is designed as a unified and mathematically rigorous treatment of some recent developments of the asymptotic distribution theory of order statistics (including the extreme order statistics) that are relevant for statistical theory and its applications. Particular emphasis is placed on results concern ing the accuracy oflimit theorems, on higher order approximations, and other approximations in quite a general sense. Contrary to the classical limit theorems that primarily concern the weak convergence of distribution functions, our main results will be formulated in terms of the variational and the Hellinger distance. These results will form the proper springboard for the investigation of parametric approximations of nonparametric models of joint distributions of order statistics. The approxi mating models include normal as well as extreme value models. Several applications will show the usefulness of this approach. Other recent developments in statistics like nonparametric curve estima tion and the bootstrap method will be studied as far as order statistics are concerned. 1n connection with this, graphical methods will, to some extent, be explored.
Download or read book Series Approximation Methods in Statistics written by John E. Kolassa and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book was originally compiled for a course I taught at the University of Rochester in the fall of 1991, and is intended to give advanced graduate students in statistics an introduction to Edgeworth and saddlepoint approximations, and related techniques. Many other authors have also written monographs on this subject, and so this work is narrowly focused on two areas not recently discussed in theoretical text books. These areas are, first, a rigorous consideration of Edgeworth and saddlepoint expansion limit theorems, and second, a survey of the more recent developments in the field. In presenting expansion limit theorems I have drawn heavily 011 notation of McCullagh (1987) and on the theorems presented by Feller (1971) on Edgeworth expansions. For saddlepoint notation and results I relied most heavily on the many papers of Daniels, and a review paper by Reid (1988). Throughout this book I have tried to maintain consistent notation and to present theorems in such a way as to make a few theoretical results useful in as many contexts as possible. This was not only in order to present as many results with as few proofs as possible, but more importantly to show the interconnections between the various facets of asymptotic theory. Special attention is paid to regularity conditions. The reasons they are needed and the parts they play in the proofs are both highlighted.
Download or read book Golden winged Warbler Ecology Conservation and Habitat Management written by Henry M. Streby and published by CRC Press. This book was released on 2016-10-26 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt: Golden-winged Warblers (Vermivora chrysoptera) are migratory songbirds that breed in temperate North America, primarily in the Great Lakes region with remnant populations throughout the Appalachian Mountains, and winter in Central and northern South America. Their breeding range has contracted dramatically in the Appalachian Mountains and many populations have dramatically declined, likely due to habitat loss, competition and interbreeding with Blue-winged Warblers (Vermivora pinus), andglobal climate change.. As a result of population declines in much of the eastern portion of their breeding range, Golden-winged Warblers are listed as endangered or threatened in 10 U.S. states and in Canada and have been petitioned for protection under the U.S. Endangered Species Act. Published in collaboration with and on behalf of The American Ornithological Society, this volume in the highly-regarded Studies in Avian Biology series compiles extensive, current research on Golden-winged Warblers and summarizes what is known and identifies many remaining unknowns, providing a wealth of peer-reviewed science on which future research and listing decisions can be based.
Download or read book Methods for Estimation and Inference in Modern Econometrics written by Stanislav Anatolyev and published by CRC Press. This book was released on 2011-06-07 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers important topics in econometrics. It discusses methods for efficient estimation in models defined by unconditional and conditional moment restrictions, inference in misspecified models, generalized empirical likelihood estimators, and alternative asymptotic approximations. The first chapter provides a general overview of established nonparametric and parametric approaches to estimation and conventional frameworks for statistical inference. The next several chapters focus on the estimation of models based on moment restrictions implied by economic theory. The final chapters cover nonconventional asymptotic tools that lead to improved finite-sample inference.
