Saddlepoint Approximations for the Difference of Order Statistics
Copyright policy )Saddlepoint Approximations for the Difference of Order Statistics
Summary: Saddlepoint approximations for the distribution of the difference of order statistics from a continuous distribution are presented. The approximations are illustrated for the case of the exponential distribution where we can find the exact probability density function of the difference of order statistics, and for the case of the noncentral chi-squared distribution which has application to the problem of testing a time series for linearity. In both cases we show that the saddlepoint approximation is much better than the normal approximation, especially for realistic sample sizes.
- University System of Ohio United States
- The University of Texas System United States
- Bowling Green State University United States
- Texas A&M University United States
testing for linearity, nonlinear time series, Asymptotic distribution theory in statistics, noncentral chi-squared distribution, Approximations to statistical distributions (nonasymptotic), continuous distribution, saddlepoint approximations, Order statistics; empirical distribution functions, exponential distribution, difference of order statistics
testing for linearity, nonlinear time series, Asymptotic distribution theory in statistics, noncentral chi-squared distribution, Approximations to statistical distributions (nonasymptotic), continuous distribution, saddlepoint approximations, Order statistics; empirical distribution functions, exponential distribution, difference of order statistics
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