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La Vecchia D, Ronchetti E, Ilievski A. On Some Connections Between Esscher’s Tilting, Saddlepoint Approximations, and Optimal Transportation: A Statistical Perspective. Stat Sci 2023. [DOI: 10.1214/21-sts847] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 01/18/2023]
Affiliation(s)
- Davide La Vecchia
- Davide La Vecchia is Associate Professor, Research Center for Statistics, Geneva School of Economics and Management, University of Geneva, Geneva, Switzerland
| | - Elvezio Ronchetti
- Elvezio Ronchetti is Professor Emeritus, Research Center for Statistics, Geneva School of Economics and Management, University of Geneva, Geneva, Switzerland
| | - Andrej Ilievski
- Andrej Ilisevski is master student in Statistics at ETH Zürich, Zürich, Switzerland
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Deléamont P, Ronchetti E. Robust Inference with Censored Survival Data. Scand Stat Theory Appl 2022. [DOI: 10.1111/sjos.12570] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/28/2022]
Affiliation(s)
- Pierre‐Yves Deléamont
- Institute of Statistics, Faculty of Science, University of Neuchâtel Neuchâtel Switzerland
| | - Elvezio Ronchetti
- Research Center for Statistics Geneva School of Economics and Management, University of Geneva Geneva Switzerland
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Holcblat B, Sowell F. The empirical saddlepoint estimator. Electron J Stat 2022. [DOI: 10.1214/21-ejs1976] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
Affiliation(s)
- Benjamin Holcblat
- University of Luxembourg, FDEF, 6 Rue Richard Coudenhove-Kalergi, L-1359, Luxembourg
| | - Fallaw Sowell
- Carnegie Mellon University, Tepper School of Business, 5000 Forbes Ave. Pittsburgh, PA, USA
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Jiang C, Vecchia DL, Ronchetti E, Scaillet O. Saddlepoint Approximations for Spatial Panel Data Models. J Am Stat Assoc 2021. [DOI: 10.1080/01621459.2021.1981913] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/20/2022]
Affiliation(s)
- Chaonan Jiang
- Research Center for Statistics and Geneva School of Economics and Management, University of Geneva, Geneva, Switzerland
| | - Davide La Vecchia
- Research Center for Statistics and Geneva School of Economics and Management, University of Geneva, Geneva, Switzerland
| | - Elvezio Ronchetti
- Research Center for Statistics and Geneva School of Economics and Management, University of Geneva, Geneva, Switzerland
| | - Olivier Scaillet
- Geneva Finance Research Institute, Geneva School of Economics and Management, University of Geneva, Geneva, Switzerland
- Swiss Finance Institute, Geneva, Switzerland
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Aeberhard WH, Cantoni E, Heritier S. Saddlepoint tests for accurate and robust inference on overdispersed count data. Comput Stat Data Anal 2017. [DOI: 10.1016/j.csda.2016.10.009] [Citation(s) in RCA: 3] [Impact Index Per Article: 0.4] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/20/2022]
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Gatto R. Saddlepoint approximations to the distribution of the total distance of the multivariate isotropic and von Mises–Fisher random walks. MATHEMATICAL METHODS OF STATISTICS 2017. [DOI: 10.3103/s1066530717010021] [Citation(s) in RCA: 4] [Impact Index Per Article: 0.6] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/30/2022]
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Affiliation(s)
- Elvezio Ronchetti
- Research Center for Statistics and Geneva School of Economics and Management; University of Geneva; Switzerland
| | - Radka Sabolová
- Department of Mathematics and Statistics; The Open University; Milton Keynes UK
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Affiliation(s)
- Davide La Vecchia
- Econometrics and Business Statistics Department; Monash University; Melbourne Australia
- School of Economics and Political Science, Institute of Mathematics and Statistics; University of St. Gallen; Sankt Gallen Switzerland
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Lunardon N, Ronchetti E. Composite likelihood inference by nonparametric saddlepoint tests. Comput Stat Data Anal 2014. [DOI: 10.1016/j.csda.2014.05.014] [Citation(s) in RCA: 5] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/25/2022]
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Lô SN, Ronchetti E. Robust small sample accurate inference in moment condition models. Comput Stat Data Anal 2012. [DOI: 10.1016/j.csda.2011.01.020] [Citation(s) in RCA: 6] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/18/2022]
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Kolassa J, Robinson J. Saddlepoint approximations for likelihood ratio like statistics with applications to permutation tests. Ann Stat 2011. [DOI: 10.1214/11-aos945] [Citation(s) in RCA: 5] [Impact Index Per Article: 0.4] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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Toma A, Leoni-Aubin S. Robust tests based on dual divergence estimators and saddlepoint approximations. J MULTIVARIATE ANAL 2010. [DOI: 10.1016/j.jmva.2009.11.001] [Citation(s) in RCA: 21] [Impact Index Per Article: 1.5] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/20/2022]
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PITMAN MEDAL. AUST NZ J STAT 2009. [DOI: 10.1111/j.1467-842x.2009.00539.x] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/28/2022]
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Field C, Robinson J, Ronchetti E. Saddlepoint approximations for multivariate M-estimates with applications to bootstrap accuracy. ANN I STAT MATH 2006. [DOI: 10.1007/s10463-006-0083-3] [Citation(s) in RCA: 5] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/24/2022]
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