Saddlepoint Series for Distribution Functions
Recall from §3 that calculating distribution function approximations from Edgeworth density approximations was a simple matter. The Edgeworth series for the density is a linear combination of derivatives of the normal distribution function, and hence is easily integrated to give a corresponding cumulative distribution function approximation. This cumulative distribution function approximation inherits many good properties from the density approximation.
KeywordsCumulative Distribution Function Saddlepoint Approximation Tail Area Cumulant Generate Function Distribution Function Approximation
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