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Activity Number:
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106
- Empirical Transforms, Saddlepoint Approximations, and Risk Assessment with Some Applications
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Type:
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Topic Contributed
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Date/Time:
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Monday, July 31, 2017 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Risk Analysis
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Abstract #322801
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View Presentation
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Title:
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On Distributions of Ratios
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Author(s):
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Simon Broda* and Raymond Kan
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Companies:
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University of Amsterdam and University of Toronto
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Keywords:
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Characteristic Function ;
Fieller--Creasy Problem ;
Inversion Formula ;
Saddlepoint Approximation
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Abstract:
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Inversion formulae are derived that express the density and distribution function of a ratio of random variables in terms of the joint characteristic function of numerator and denominator. The resulting expressions are amenable to numerical evaluation and lead to simple asymptotic expansions. The expansions reduce to known results when the denominator is almost surely positive. Their accuracy is demonstrated with numerical examples.
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Authors who are presenting talks have a * after their name.
