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Technical Program

Paper Detail

Paper IDD2-S5-T1.1
Paper Title Saddlepoint Approximations of Cumulative Distribution Functions of Sums of Random Vectors
Authors Dadja Anade, Jean-Marie Gorce, INSA de Lyon, France; Philippe Mary, INSA de Rennes, France; Samir Perlaza, INRIA, France
Session D2-S5-T1: Finite Length Analysis
Chaired Session: Tuesday, 13 July, 23:20 - 23:40
Engagement Session: Tuesday, 13 July, 23:40 - 00:00
Abstract 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.