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Saddlepoint approximation for moments of random variables |
Kai ZHAO1, Xue CHENG1,2( ), Jingping YANG1,2 |
| 1. Department of Financial Mathematics, Center for Statistical Science, Peking University, Beijing 100871, China; 2. Key Lab of Mathematics and Applied Mathematics (Peking University), Ministry of Education, Beijing 100871, China |
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Abstract 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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| Keywords
Saddlepoint approximation
higher moments
sum of i.i.d. random variables
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Corresponding Author(s):
CHENG Xue,Email:chengxue@math.pku.edu.cn
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Issue Date: 01 December 2011
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