Publication: Saddlepoint approximations for the doubly noncentral t distribution
Saddlepoint approximations for the doubly noncentral t distribution
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Broda, S., & Paolella, M. S. (2007). Saddlepoint approximations for the doubly noncentral t distribution. Computational Statistics & Data Analysis, 51(6), 2907–2918. https://doi.org/10.1016/j.csda.2006.11.024
Abstract
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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.
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- Broda, Simon
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Broda, S., & Paolella, M. S. (2007). Saddlepoint approximations for the doubly noncentral t distribution. Computational Statistics & Data Analysis, 51(6), 2907–2918. https://doi.org/10.1016/j.csda.2006.11.024
