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On the Use of Saddlepoint Approximations in High Dimensional Inference

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Inference in high dimensional parameter space poses many challenges. One of these is the possible use of saddlepoint approximations. Motivated by a recent use of the saddlepoint approximation to construct a conditional test, we argue that the precision is questionable. We illustrate this by an example giving a 50% relative error in the calculation of the p-value. A power study of the underlying test reveals a low power in many situations. As an alternative it is suggested to use the likelihood ratio test.
Original languageEnglish
JournalSankhya A
Volume83
Issue1
Pages (from-to)379-392
Number of pages14
ISSN0976-8378
DOIs
Publication statusPublished - Feb 2021

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