Saddlepoint approximation for moments of random variables

被引：0
|
作者：
Kai Zhao
Xue Cheng
Jingping Yang
机构：
[1] Peking University,Department of Financial Mathematics, Center for Statistical Science
[2] Key Lab of Mathematics and Applied Mathematics (Peking University),Ministry of Education
来源：
Frontiers of Mathematics in China | 2011年 / 6卷
关键词：
Saddlepoint approximation; higher moments; sum of i.i.d. random variables; 62H12; 62P05; 91G70;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we introduce a saddlepoint approximation method for higher-order moments like E(S − a)+m, a>0, where the random variable S in these expectations could be a single random variable as well as the average or sum of some i.i.d random variables, and a > 0 is a constant. Numerical results are given to show the accuracy of this approximation method.
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页码：1265 / 1284
页数：19
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