Saddlepoint approximation to gamma convolutions
DC Field | Value | Language |
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dc.contributor.author | Choi, Y.-H. | - |
dc.contributor.author | Cho, J.-R. | - |
dc.contributor.author | Bladt, M. | - |
dc.contributor.author | Ha, H.-T. | - |
dc.date.available | 2020-02-28T03:43:04Z | - |
dc.date.created | 2020-02-12 | - |
dc.date.issued | 2016 | - |
dc.identifier.issn | 1598-7264 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/8759 | - |
dc.description.abstract | Gamma convolutions have been widely used in statistics and a wide range of scientific fields such as finance. Due to the difficulty of achieving analytically tractable expressions, the practical use of such models is limited. In this paper, we provide saddlepoint approximations of gamma convolutions employing different saddlepoint approximation methods\-Daniels' (1954) and its normalized versions for density approximation, and Lugannani and Rice's (1980) and its generalized (Wood et al., 1993) versions for cumulative distribution approximation. We examined their accuracies comparing to a simple gamma approximation recently proposed by Stewart et al. (2007) and numerically evaluated exact distribution (Sim, 1992) of gamma convolutions. Three illustrative examples demonstrate that the saddlepoint approximation techniques provide extremely accurate approximations to the exact distributions of the gamma convolutions, especially to very small tail probabilities. R programming codes for the four versions of the saddlepoint approximation are provided in Appendix. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | Jangjeon Research Institute for Mathematical Sciences and Physics | - |
dc.relation.isPartOf | Proceedings of the Jangjeon Mathematical Society | - |
dc.title | Saddlepoint approximation to gamma convolutions | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.description.journalClass | 1 | - |
dc.identifier.bibliographicCitation | Proceedings of the Jangjeon Mathematical Society, v.19, no.1, pp.165 - 176 | - |
dc.identifier.kciid | ART002076807 | - |
dc.identifier.scopusid | 2-s2.0-84958254335 | - |
dc.citation.endPage | 176 | - |
dc.citation.startPage | 165 | - |
dc.citation.title | Proceedings of the Jangjeon Mathematical Society | - |
dc.citation.volume | 19 | - |
dc.citation.number | 1 | - |
dc.contributor.affiliatedAuthor | Ha, H.-T. | - |
dc.type.docType | Article | - |
dc.subject.keywordAuthor | Approximation accuracy | - |
dc.subject.keywordAuthor | Gamma convolution | - |
dc.subject.keywordAuthor | Lugannani-Rice formula | - |
dc.subject.keywordAuthor | Normalization | - |
dc.subject.keywordAuthor | Saddlepoint approximation | - |
dc.description.journalRegisteredClass | scopus | - |
dc.description.journalRegisteredClass | kci | - |
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