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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Saddlepoint approximations for the doubly noncentral t distribution |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Computational Statistics and Data Analysis |
| Publisher | Elsevier |
| Geographical Reach | international |
| ISSN | 0167-9473 |
| Volume | 51 |
| Number | 6 |
| Page Range | 2907 - 2918 |
| Date | 2007 |
| Abstract Text | Closed-form approximations for the density and cumulative distribution function of the doubly noncentral t distribution are developed based on saddlepoint methods. They exhibit remarkable accuracy throughout the entire support of the distribution and are vastly superior to existing approximations. An application in finance is considered which capitalizes on the enormous increase in computational speed. |
| Digital Object Identifier | 10.1016/j.csda.2006.11.024 |
| Other Identification Number | merlin-id:589 |
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