• Communications for Statistical Applications and Methods
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• v.17 no.3
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• pp.367-376
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• 2010

Recently various methods were suggested and reviewed for estimating diffusion processes. Out of suggested estimation method, we mainly concerns on the estimation method using saddlepoint approximation method, and we suggest a term saddlepoint approximation(ASP) method which is the simplest saddlepoint approximation method. We will show that ASP method provides fast estimator as much as Euler approximation method(EAM) in computing, and the estimator also has good statistical properties comparable to the maximum likelihood estimator(MLE). By simulation study we compare the properties of ASP estimator with MLE and EAM, for Ornstein-Uhlenbeck diffusion processes.

• The Korean Journal of Applied Statistics
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• v.22 no.1
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• pp.171-179
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• 2009

In this paper we studied the effective approximations to the distribution of the sum of products of normal variables. Based on the saddlepoint approximations to the quadratic forms, the suggested approximations are very accurate and easy to use. Applications to the FSK (Frequency Shift Keying) communication are also considered.

• The Korean Journal of Applied Statistics
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• v.18 no.1
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• pp.183-196
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• 2005

In this paper we studied the saddlepoint approximations to the distribution of non-homogeneous quadratic forms in normal variables. The results are the extension of Kuonen's which provide the same approximations to homogeneous quadratic forms. The CGF of interested statistics and related properties are derived for applications of saddlepoint techniques. Simulation results are also provided to show the accuracy of saddlepoint approximations.