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Saddlepoint Approximations of Cumulative Distribution Functions of Sums of Random Vectors

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 Connect in order to contact the contributor
Submitted on : Friday, May 21, 2021 - 4:05:38 PM
Last modification on : Tuesday, May 17, 2022 - 3:20:53 AM

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Report-9388.pdf
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  • HAL Id : hal-03143508, version 3

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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.32. ⟨hal-03143508v3⟩

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