An Upper Bound on the Error Induced by Saddlepoint Approximations—Applications to Information Theory
This paper introduces an upper bound on the absolute difference between: (a) the cumulative distribution function (CDF) of the sum of a finite number of independent and identically distributed random variables with finite absolute third moment; and (b) a saddlepoint approximation of such CDF. This u...
Main Authors: | , , , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2020-06-01
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Series: | Entropy |
Subjects: | |
Online Access: | https://www.mdpi.com/1099-4300/22/6/690 |