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Activity Number: 36
Type: Contributed
Date/Time: Sunday, August 4, 2013 : 2:00 PM to 3:50 PM
Sponsor: IMS
Abstract - #307815
Title: Polynomially Adjusted Saddlepoint Density Approximations
Author(s): Serge Provost*+
Companies: Univ of Western Ontario
Keywords: Saddlepoint approximation ; moment-based methodologies ; bivariate distributions ; density estimation ; copulas ; density approximants
Abstract:

Improved saddlepoint density approximations are obtained by means of moment-based polynomial adjustments. Some hybrid density approximants are then introduced and applied to various distributions, including mixtures of beta, gamma and Gaussian densities. Additionally, a methodology that involves a standardizing transformation is developed for the bivariate case, and connections to copulas are pointed out. Extensions to univariate and bivariate density estimates, which rely on sample moments and empirical cumulant-generating functions, are also proposed. Several illustrative examples are presented.


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