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Saddlepoint approximations to the distribution of the total distance of the multivariate isotropic and von Mises–Fisher random walks

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Abstract

This article considers the random walk over Rp, with p ≥ 2, where the directions taken by the individual steps follow either the isotropic or the vonMises–Fisher distributions. Saddlepoint approximations to the density and to upper tail probabilities of the total distance covered by the random walk, i.e., of the length of the resultant, are derived. The saddlepoint approximations are onedimensional and simple to compute, even though the initial problem is p-dimensional. Numerical illustrations of the high accuracy of the proposed approximations are provided.

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  1. Inst. Math. Statist. and Actuar. Sci., Dept.Math. and Statist., Univ. of Bern, Bern, Switzerland

    R. Gatto

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  1. R. Gatto
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Gatto, R. Saddlepoint approximations to the distribution of the total distance of the multivariate isotropic and von Mises–Fisher random walks. Math. Meth. Stat. 26, 20–36 (2017). https://doi.org/10.3103/S1066530717010021

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