1990/09/01 by Suojin Wang
Mathematics · Decision Sciences · Computer Science · #Statistical Distribution Estimation and Applications #Probabilistic and Robust Engineering Design #Bayesian Methods and Mixture Models
paper · doi:10.2307/3214543
A saddlepoint approximation is derived for the cumulative distribution function of the sample mean of n independent bivariate random vectors. The derivations use Lugannani and Rice's saddlepoint formula and the standard bivariated normal distribution function. The separate versions of the approximation for the discrete cases are also given. A Monte Carlo study shows that the new approximation is very accurate.