Practical Saddlepoint Approximations

Abstract

This article illustrates univariate and conditional saddle-point density and distribution function approximations. The emphasis is on the applications and on the calculations needed to compute the approximations. Uses of the approximations include p value computations for some test statistics, approximations of finite mixture distributions, and convolutions.

Key Words:

• Convolution
• Cumulant generating function
• Finite mixture distribution
• p value computations
• Saddlepoint approximation