Tail Exactness of Multivariate Saddlepoint Approximations

@inproceedings{BarndorrNielsenTailEO,
title={Tail Exactness of Multivariate Saddlepoint Approximations},
author={O E Barndorr-Nielsen and C Kl}
}

O E Barndorr-Nielsen, C Kl

We consider a log-concave density f in R m satisfying certain weak conditions, particularly on the Hessian matrix of ? log f. For such a density, we prove tail exactness of the multivariate saddlepoint approximation. The proof is based on a local limit theorem for the exponential family generated by f. However, the result refers not to asymptotic behaviour under repeated sampling, but to a limiting property at the boundary of the domain of f. Our approach does not apply any complex analysis… CONTINUE READING