|| Saddlepoint Approximations of Cumulative Distribution Functions of Sums of Random Vectors
||Dadja Anade, Jean-Marie Gorce, INSA de Lyon, France; Philippe Mary, INSA de Rennes, France; Samir Perlaza, INRIA, France|
||D2-S5-T1: Finite Length Analysis
||Tuesday, 13 July, 23:20 - 23:40
||Tuesday, 13 July, 23:40 - 00:00
In this paper, 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 by an expression that is easy to calculate. As a byproduct, an upper bound and a lower bound on the CDF are obtained. Finally, in the case of lattice and absolutely continuous random variables, the proposed approximation is identical to the saddlepoint approximation of the CDF.