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

Abstract

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. © 2010 Science China Press and Springer-Verlag Berlin Heidelberg.