Bernoulli

  • Bernoulli
  • Volume 12, Number 3 (2006), 491-500.

Saddlepoint approximation in exponential models with boundary points

Joan Del Castillo and Anna López-Ratera

Full-text: Open access

Abstract

A saddlepoint approximation is developed for the likelihood ratio test statistic in non-regular exponential models. For the one-parameter case, it is proved that the saddlepoint correction has a relative error of order O ( n - 1 ) , assuming that the canonical statistic has four finite moments. The results are applied in reliability theory and survival analysis, testing for exponentiality. Note that we are using the saddlepoint method for statistics without moment generating function.

Article information

Source
Bernoulli, Volume 12, Number 3 (2006), 491-500.

Dates
First available in Project Euclid: 28 June 2006

Permanent link to this document
https://projecteuclid.org/euclid.bj/1151525132

Digital Object Identifier
doi:10.3150/bj/1151525132

Mathematical Reviews number (MathSciNet)
MR2232728

Zentralblatt MATH identifier
1100.62016

Keywords
higher-order asymptotics likelihood ratio test reliability theory survival analysis models

Citation

Del Castillo, Joan; López-Ratera, Anna. Saddlepoint approximation in exponential models with boundary points. Bernoulli 12 (2006), no. 3, 491--500. doi:10.3150/bj/1151525132. https://projecteuclid.org/euclid.bj/1151525132


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