SADDLEPOINT APPROXIMATIONS FOR THE DIFFERENCE OF ORDER-STATISTICS Academic Article

abstract

• SUMMARY: Saddlepoint approximations for the distribution of the difference of order statistics from a continuous distribution are presented. The approximations are illustrated for the case of the exponential distribution where we can find the exact probability density function of the difference of order statistics, and for the case of the noncentral chi-squared distribution which has application to the problem of testing a time series for linearity. In both cases we show that the saddlepoint approximation is much better than the normal approximation, especially for realistic sample sizes. 1995 Biometrika Trust.

authors

• Newton, H. Joseph

published proceedings

• BIOMETRIKA

author list (cited authors)

• HARVILL, J. L., & NEWTON, H. J.

citation count

• 10

complete list of authors

• HARVILL, JL||NEWTON, HJ

publication date

• January 1995

publisher

• Oxford University Press (OUP)  Publisher

published in

• Biometrika  Journal

keywords

• Interquartile Range
• Noncentral Chi-squared
• Nonlinear Time Series
• Order Statistic
• Saddlepoint Approximation

Digital Object Identifier (DOI)

• 10.1093/biomet/82.1.226

start page

• 226

end page

• 231

volume

• 82

issue

• 1

URL

• http://dx.doi.org/10.1093/biomet/82.1.226