Asymptotic accuracy of the saddlepoint approximation for maximum likelihood estimation
最大似然估计鞍点近似的渐近精度
The saddlepoint approximation gives an approximation to the density of a random variable in terms of its moment generating function. When the underlying random variable is itself the sum of n unobserved i.i.d. terms, the basic classical result is that the relative error in the density is of order 1/n. If instead the approximation is interpreted as a likelihood and maximised as a function of model parameters, the result is an approximation to the maximum likelihood estimate…