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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2017.1
- 수록면
- 493 - 502 (10page)
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초록· 키워드
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We propose an accurate approximation method via discrete Krawtchouk or-thogonal polynomials to the distribution of a sum of independent but non-identicallydistributed binomial random variables. This approximation is a weighted binomial distri-bution with no need for continuity correction unlike commonly used density approximationmethods such as saddlepoint, Gram-Charlier A type(GC), and Gaussian approximationmethods. The accuracy obtained from the proposed approximation is compared with sad-dlepoint approximations applied by Eisinga et al. [4], which are the most accurate methodamong higher order asymptotic approximation methods. The numerical results show thatthe proposed approximation in general provide more accurate estimates over the entirerange for the target probability mass function including the right-tail probabilities. Inaddition, the method is mathematically tractable and computationally easy to program.
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참고문헌 (9)
참고문헌 신청
B. K. Shah / 1973 / On the distribution of the sum of independent integer valued random variables / Am. Stat. 27 : 123 ~ 124
J. C. Benneyan / 2010 / Exact and approximate probability distributions of evidence-based bundle composite compliance measures / Health Care Manag. Sci. 13 : 193 ~ 209
Ken Butler / 2017 / The Distribution of a Sum of Independent Binomial Random Variables / Methodology and Computing in Applied Probability 19 (2) : 557 ~ 571
M. B. Gordy / 2002 / Saddlepoint approximation of CreditRisk+ / J. Bank. Financ. 26 : 1335 ~ 1353
R. Eisinga / 2013 / Saddlepoint approximations for the sum of independent non-identically distributed binomial random variables / Stat. Neerl. 67 : 190 ~ 201
J. C. Benneyan / 2010 / Exact and approximate probability distributions of evidence-based bundle composite compliance measures / Health Care Manag. Sci. 13 : 193 ~ 209
Ken Butler / 2017 / The Distribution of a Sum of Independent Binomial Random Variables / Methodology and Computing in Applied Probability 19 (2) : 557 ~ 571
M. B. Gordy / 2002 / Saddlepoint approximation of CreditRisk+ / J. Bank. Financ. 26 : 1335 ~ 1353
R. Eisinga / 2013 / Saddlepoint approximations for the sum of independent non-identically distributed binomial random variables / Stat. Neerl. 67 : 190 ~ 201
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