Implementation of saddlepoint approximations in resampling problems

  • Authors:

  • Angelo J. Canty;A. C. Davison

  • Affiliations:

  • Department of Mathematics and Statistics, Concordia University, Montreal, Quebec, Canada H3G 1M8 http://statwww.epfl.ch;Department of Mathematics, Swiss Federal Institute of Technology, 1015 Lausanne, Switzerland http://dmawww.epfl.ch/davison.mosaic

  • Venue:
  • Statistics and Computing
  • Year:
  • 1999

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Abstract

In many situations saddlepoint approximations can replace the Monte Carlo simulation typically used to find the bootstrap distribution of a statistic. We explain how bootstrap and permutation distributions can be expressed as conditional distributions and how methods for linear programming and for fitting generalized linear models can be used to find saddlepoint approximations to these distributions. The ideas are illustrated using an example from insurance.