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

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