
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.
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
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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