A fixed-point method for the saddlepoint approximation quantile |
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| Authors: | Zheng Wang |
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| Institution: | Department of Statistics and Computer Information Systems , Baruch College, City University of New York , 10010, New York, NY, 17 Lexington Avenue |
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| Abstract: | A fixed-point method is proposed for calculating quantiles of the sample mean for a saddlepoint approximation. We show that this method has fast convergence rate and can be extended to more general statistics. Examples are given to show the accuracy of the approximation. |
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| Keywords: | bootstrap algorithm estimating equation |
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