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Broda, Simon; Paolella, Marc S (2007). Saddlepoint approximations for the doubly noncentral t distribution. Computational Statistics and Data Analysis, 51(6):2907-2918.
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.
| Item Type: | Journal Article, refereed, original work |
|---|---|
| Communities & Collections: | 03 Faculty of Economics > Department of Finance |
| Dewey Decimal Classification: | 330 Economics |
| Scopus Subject Areas: | Physical Sciences > Statistics and Probability
Physical Sciences > Computational Mathematics Physical Sciences > Computational Theory and Mathematics Physical Sciences > Applied Mathematics |
| Scope: | Discipline-based scholarship (basic research) |
| Language: | English |
| Date: | 1 March 2007 |
| Deposited On: | 23 Mar 2009 11:09 |
| Last Modified: | 02 Mar 2025 02:40 |
| Publisher: | Elsevier |
| ISSN: | 0167-9473 |
| OA Status: | Green |
| Publisher DOI: | https://doi.org/10.1016/j.csda.2006.11.024 |
| Other Identification Number: | merlin-id:589 |
Broda, Simon