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Normed likelihood as saddlepoint approximation

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  • Fraser, D. A. S.

Abstract

Barndorff-Nielsen's formula (normed likelihood with constant-information metric) has been proffered as an approximate conditional distribution for the maximum-likelihood estimate, based on likelihood functions. Asymptotic justifications are available and the formula coincides with the saddlepoint approximation in full exponential models. It is shown that the formula has wider application than is presently indicated, that in local analysis it corresponds to Laplace's method of integration, and that it corresponds more generally to a saddlepoint approximation.

Suggested Citation

  • Fraser, D. A. S., 1988. "Normed likelihood as saddlepoint approximation," Journal of Multivariate Analysis, Elsevier, vol. 27(1), pages 181-193, October.
    • Handle: RePEc:eee:jmvana:v:27:y:1988:i:1:p:181-193
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    Cited by:

    1. Christopher Withers & Saralees Nadarajah, 2010. "Tilted Edgeworth expansions for asymptotically normal vectors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(6), pages 1113-1142, December.
    2. J. Qi & M. Rekkas & A. Wong, 2018. "Highly Accurate Inference on the Sharpe Ratio for Autocorrelated Return Data," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 7(1), pages 1-2.

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