  A saddlepoint approximation of the Student's t-statistic was derived by
Daniels and Young [Biometrika 78 (1991) 169-179] under the very stringent
exponential moment condition that requires that the underlying density function
go down at least as fast as a Normal density in the tails. This is a severe
restriction on the approximation's applicability. In this paper we show that
this strong exponential moment restriction can be completely dispensed with,
that is, saddlepoint approximation of the Student's t-statistic remains valid
without any moment condition. This confirms the folklore that the Student's
t-statistic is robust against outliers. The saddlepoint approximation not only
provides a very accurate approximation for the Student's t-statistic, but it
also can be applied much more widely in statistical inference. As a result,
saddlepoint approximations should always be used whenever possible. Some
numerical work will be given to illustrate these points.
