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Uniformity of Double Saddlepoint Conditional Probability Approximations

✍ Scribed by John E. Kolassa

Publisher: Elsevier Science
Year: 1998
Tongue: English
Weight: 465 KB
Volume: 64
Category: Article
ISSN: 0047-259X
DOI: 10.1006/jmva.1997.1711

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✦ Synopsis

This paper presents results showing that the error involved in using the double saddlepoint distribution function approximations of Skovgaard (1987, J. Appl. Probab. 24 875 887) are uniformly bounded. Particular attention is paid to distributions of sufficient statistics arising from generalized linear models. This work is intended in part to validate the use of the Markov Chain Monte Carlo by Amer. Statist. Assoc. 89 697 702) using these conditional distribution function approximations.

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