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Uniform saddlepoint approximations
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- Journal:
- Advances in Applied Probability / Volume 20 / Issue 3 / September 1988
- Published online by Cambridge University Press:
- 01 July 2016, pp. 622-634
- Print publication:
- September 1988
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- Article
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The validity of the saddlepoint expansion evaluated at the point y is considered in the limit y tending to ∞. This is done for the expansions of the density and of the tail probability of the mean
of n i.i.d. random variables and also for the expansion of the tail probability of a compound Poisson sum 
, where N is a Poisson random variable. We consider both general conditions that ensure the validity of the expansions and study the four classes of densities for X1 introduced in Daniels (1954).
of 
, where 