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http://dx.doi.org/10.5351/KJAS.2014.27.5.809

Saddlepoint Approximation to the Linear Combination Based on Multivariate Skew-normal Distribution  

Na, Jonghwa (Department of Information & Statistics, Chungbuk National University)
Publication Information
The Korean Journal of Applied Statistics / v.27, no.5, 2014 , pp. 809-818 More about this Journal
Abstract
Multivariate skew-normal distribution(distribution that includes multivariate normal distribution) has been recently applied to many application areas. We consider saddlepoint approximation for a statistic of linear combination based on a multivariate skew-normal distribution. This approach can be regarded as an extension of Na and Yu (2013) that dealt saddlepoint approximation for the distribution of a skew-normal sample mean for a linear statistic and multivariate version. Simulations results and examples with real data verify the accuracy and applicability of suggested approximations.
Keywords
Multivariate skew-normal distribution; saddlepoint approximation; cumulant generating function;
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Times Cited By KSCI : 2  (Citation Analysis)
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