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Saddlepoint Approximations of Cumulative Distribution Functions of Sums of Random Vectors

Dadja Anade 1 Jean-Marie Gorce 1 Philippe Mary 2 Samir Perlaza 3
1 MARACAS - Modèle et algorithmes pour des systèmes de communication fiables
CITI - CITI Centre of Innovation in Telecommunications and Integration of services, Inria Grenoble - Rhône-Alpes
3 NEO - Network Engineering and Operations
CRISAM - Inria Sophia Antipolis - Méditerranée
Abstract : In this report, a real-valued function that approximates the cumulative distribution function (CDF) of a finite sum of real-valued independent and identically distributed random vectors is presented. The approximation error is upper bounded and thus, as a byproduct, an upper bound and a lower bound on the CDF are obtained. Finally, it is observed that in the case of lattice and absolutely continuous random variables, the proposed approximation is identical to the saddlepoint approximation of the CDF.
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https://hal.inria.fr/hal-03143508
Contributor : Dadja Anade <>
Submitted on : Tuesday, March 2, 2021 - 10:22:06 AM
Last modification on : Thursday, March 4, 2021 - 3:10:22 AM

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RR-9388.pdf
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  • HAL Id : hal-03143508, version 2

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Dadja Anade, Jean-Marie Gorce, Philippe Mary, Samir Perlaza. Saddlepoint Approximations of Cumulative Distribution Functions of Sums of Random Vectors. [Research Report] RR-9388, Inria Grenoble - Rhône-Alpes. 2021, pp.30. ⟨hal-03143508v2⟩

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