Continuity corrections for integer-valued saddlepoint approximations

Continuity corrections do not always give a more accurate approximation in the tail area of integer-valued random variables. By studying the relative error, we can compare tail area approximation with and without continuity corrections.

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Year of publication:	2006
Authors:	Fung, Thomas ; Robinson, John
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 76.2006, 14, p. 1465-1469
Publisher:	Elsevier
Keywords:	Lugannani and Rice formula Continuity corrections Relative errors Tail area approximations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254200