Aarhus Universitets segl

On a saddlepoint approximation to the Markov binomial distribution

by Jens Ledet Jensen
Thiele Research Reports Number 2 (January 2011)

A nonstandard saddlepoint approximation to the distribution of a sum of Markov dependent trials is introduced. The relative error of the approximation is studied, not only for the number of summands tending to infinity, but also for the parameter approaching the boundary of its definition range. A comparison is made with another recent study of Markov dependent trials.

Keywords: Markov dependent trials, relative error, saddlepoint approximation

Format available: PDF (369 KB)