Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
418254 | Computational Statistics & Data Analysis | 2007 | 12 Pages |
Abstract
Closed-form approximations for the density and cumulative distribution function of the doubly noncentral t distribution are developed based on saddlepoint methods. They exhibit remarkable accuracy throughout the entire support of the distribution and are vastly superior to existing approximations. An application in finance is considered which capitalizes on the enormous increase in computational speed.
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
Simon Broda, Marc S. Paolella,