A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2004; you can also visit the original URL.
The file type is `application/pdf`

.

##
###
Saddlepoint approximation for moment generating functions of truncated random variables

2004
*
Annals of Statistics
*

We consider the problem of approximating the moment generating function (MGF) of a truncated random variable in terms of the MGF of the underlying (i.e., untruncated) random variable. The purpose of approximating the MGF is to enable the application of saddlepoint approximations to certain distributions determined by truncated random variables. Two important statistical applications are the following: the approximation of certain multivariate cumulative distribution functions; and the

doi:10.1214/009053604000000689
fatcat:cyu5oyxowrhlrc5dgqeiryaomm