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Computational Statistics & Data Analysis
Article . 2007 . Peer-reviewed
License: Elsevier TDM
Data sources: Crossref
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zbMATH Open
Article . 2007
Data sources: zbMATH Open
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Saddlepoint approximations for the doubly noncentral distribution

Saddlepoint approximations for the doubly noncentral \(t\) distribution
Authors: Broda, Simon; Paolella, Marc S;

Saddlepoint approximations for the doubly noncentral distribution

Abstract

Closed-form approximations for the density and cumulative distribution function of the doubly noncentral t distribution are developed based on saddlepoint methods. They exhibit remarkable accuracy throughout the entire support of the distribution and are vastly superior to existing approximations. An application in finance is considered which capitalizes on the enormous increase in computational speed.

Country
Switzerland
Keywords

Applications of statistics to actuarial sciences and financial mathematics, analysis of variance, GARCH, 10003 Department of Finance, \(t\)-statistic, Approximations to statistical distributions (nonasymptotic), financial econometrics, 330 Economics, 2604 Applied Mathematics, 2613 Statistics and Probability, 2605 Computational Mathematics, 1703 Computational Theory and Mathematics

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
12
Average
Top 10%
Average
Green
bronze