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Saddlepoint Approximation

  1. John E. Kolassa

Published Online: 15 JUL 2005

DOI: 10.1002/0470011815.b2a15180

Encyclopedia of Biostatistics

Encyclopedia of Biostatistics

How to Cite

Kolassa, J. E. 2005. Saddlepoint Approximation. Encyclopedia of Biostatistics. 4.

Author Information

  1. Rutgers, State University of New Jersey, USA

Publication History

  1. Published Online: 15 JUL 2005

Abstract

Saddlepoint approximations are asymptotic approximations to the density or tail-area probability of a statistic. The basic result, using the cumulant generating function for a univariate random variable, may be generalized to apply to random vectors and developed to deal with tail probabilities, conditional distributions, and discrete random variables.

Keywords:

  • cumulant;
  • asymptotic;
  • conditional;
  • discrete;
  • continuity