Formulas closely related to $$u(t) = \lbrack n \log (1 + t^2/n)\rbrack^{\frac{1}{2}}\\ w(\chi^2) = \lbrack\chi^2 - n - n \log (\chi^2/n)\rbrack^{\frac{1}{2}}$$ are ...
The Annals of Statistics, Vol. 49, No. 4, Memorial issue for Charles Stein (August 2021), pp. 1850-1863 (14 pages) This paper is a short exposition of Stein’s method of normal approximation from my ...
Pricing compound and min–max options requires approximation of the bivariate normal probability. We compare the performance of five analytical approximation methods for bivariate normal probabilities ...
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