Saddlepoint approximations for studentized compound Poisson sums with no moment conditions in audit sampling

作     者：ZHOU GuoLiang 1 & ZHOU Wang 2, 1 Institute of Accounting and Finance, Shanghai University of Finance and Economics, Shanghai 200433, China 2 Department of Statistics and Applied Probability, National University of Singapore, Singapore 117546, Singapore 

作者机构：Institute of Accounting and Finance Shanghai University of Finance and Economics Shanghai China Department of Statistics and Applied Probability National University of Singapore Singapore Singapore 

出 版 物：《Science China Mathematics》 (中国科学：数学（英文版）)

年 卷 期：2010年第53卷第12期

页      面：3131-3138页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：National Natural Science Foundation of China(Grant Nos. 71032005, 70802035) the MOE Project of Key Research Institute of Humanities and Social Science in University (Grant No. 07JJD63007) supported in part by National University of Singapore (Grant No. R-155-050-095-112) 

主　　题：saddlepoint approximation Laplace approximation self-normalized compound Poisson sum stu- dentized compound Poisson sum 

摘      要：Saddlepoint approximations for the studentized compound Poisson sums with no moment conditions in audit sampling are derived. This result not only provides a very accurate approximation for studentized compound Poisson sums, but also can be applied much more widely in statistical inference of the error amount in an audit population of accounts to check the validity of financial statements of a firm. Some numerical illustrations and comparison with the normal approximation method are presented.