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Biometrika 2002 89(4):933-938; doi:10.1093/biomet/89.4.933
© 2002 by Biometrika Trust
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Miscellanea

Saddlepoint approximations as smoothers

A.C. Davison1 and Suojin Wang2

1 Institute of Mathematics, Swiss Federal Institute of Technology, 1015 Lausanne, Switzerland anthony.davison{at}epfl.ch 2 Department of Statistics, Texas A&M University, College Station, Texas 77843-3143, U.S.Asjwang{at}stat.tamu.edu

This note investigates the sense in which saddlepoint approximations act as smoothers of discrete distributions.The discrete problem is embedded in a continuous model that closely matches it on the discrete sample space, with saddlepoint approximation yielding an inference that is almost exact for the continuous model. The same applies to conditional distributions. An example is given and implications for inference are discussed.

Key Words: Conditional inference; Continuity correction; Exponential family; Hauck–Donner effect; Logistic regression; Saddlepoint approximation

Received July 2000. Revised December 2001


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