Saddlepoint approximation for moments of random variables

Abstract

In this paper, we introduce a saddlepoint approximation method for higher-order moments like E{\left(S-a\right)}_{+}^m, a>0, where the random variable S in these expectations could be a single random variable as well as the average or sum of some i.i.d random variables, and a>0 is a constant. Numerical results are given to show the accuracy of this approximation method.

Keywords

Saddlepoint approximation / higher moments / sum of i.i.d. random variables

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