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Saddlepoint expansions for GEL estimators

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  • Gubhinder Kundhi
  • Paul Rilstone

Abstract

A simple saddlepoint (SP) approximation for the distribution of generalized empirical likelihood (GEL) estimators is derived. Simulations compare the performance of the SP and other methods such as the Edgeworth and the bootstrap for special cases of GEL: continuous updating, empirical likelihood and exponential tilting estimators. Copyright Springer-Verlag Berlin Heidelberg 2015

Suggested Citation

  • Gubhinder Kundhi & Paul Rilstone, 2015. "Saddlepoint expansions for GEL estimators," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(1), pages 1-24, March.
    • Handle: RePEc:spr:stmapp:v:24:y:2015:i:1:p:1-24
    DOI: 10.1007/s10260-014-0277-4
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    References listed on IDEAS

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