Skip Navigation

Biometrika 1990 77(1):65-76;
© 1990 by Biometrika Trust
This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by FRASER, D. A. S.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Articles

Tail probabilities from observed likelihoods

D. A. S. FRASER

Department of Mathematics, York University North York, Ontario, M3J 1P3, Canada

Received for publication 1 December 1988. Revision received 1 June 1989.
  Abstract

An exponential model not in standard form is fully characterized by an observed likelihood function and its first sample space derivative, up to one-one transformations of the observable variable. This property is used to modify the Lugannani & Rice (1980) tail probability approximation to make it parameterization invariant. Then, for general continuous models a version of tangent exponential model is defined, and used to derive a general tail probability approximation that uses only the observed likelihood and its first sample-space derivative. The analysis extends from density functions to distribution functions the tangent exponential model methods of Fraser (1988). A related tail probability approximation has been reported (Barndorff-Nielsen, 1988b) in the discussion to Reid (1988).

Key Words: Barndorfi-Nielsen's formula • Conditional inference • Differential likelihood • Exponential family • Likelihood • Saddlepoint method • Tail probability • Tangent model


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.