Tail probability approximations for Student's t-statistics

• 成果类型: Article
• 署名作者: Zhou, Wang; Jing, Bing-Yi
• 署名单位: National University of Singapore; Hong Kong University of Science & Technology
• 刊物名称: PROBABILITY THEORY AND RELATED FIELDS
• ISSN/ISSBN: 0178-8051
• DOI: 10.1007/s00440-005-0494-8
• 发表日期: 2006
• 页码: 541-559
• 关键词: saddlepoint approximation; symmetric statistics; Edgeworth Expansion; moment conditions

摘要

In this paper, we derive saddlepoint approximations for Student's t-statistics for strongly nonlattice random variables without moment conditions. Under very mild conditions, we show that saddlepoint equations always have solutions.