Saddlepoint Series for Distribution Functions

  • John E. Kolassa
Part of the Lecture Notes in Statistics book series (LNS, volume 88)


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.


Cumulative Distribution Function Saddlepoint Approximation Tail Area Cumulant Generate Function Distribution Function Approximation 
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Copyright information

© Springer Science+Business Media New York 1997

Authors and Affiliations

  • John E. Kolassa
    • 1
  1. 1.Department of Biostatistics, School of Medicine and DentistryUniversity of RochesterRochesterUSA

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