Advances and Applications in Statistics
Volume 27, Issue 1, Pages 55 - 64
(March 2012)
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SADDLEPOINT APPROXIMATIONS FOR LINEAR COMBINATION AND GENERALIZATION OF NORMAL-LAPLACE DISTRIBUTION
Shatha A. Alahmadi and Ehab F. Abd-Elfattah
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Abstract: Normal-Laplace, linear combination of normal-Laplace and generalized normal-Laplace distributions has many applications specially in income and financial data. However, there are no closed forms for the distribution functions of the linear combination and generalized normal-Laplace distributions. This paper uses saddlepoint approximations to provide simple forms for the densities and distribution functions of these distributions. The efficiency of the saddlepoint method is assessed by means of simulation studies. |
Keywords and phrases: Normal-Laplace distribution, generalized normal-Laplace distribution, saddlepoint. |
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