An Upper Bound on the Error Induced by Saddlepoint Approximations—Applications to Information Theory

• Published in: Entropy (Basel, Switzerland) Vol. 22; no. 6; p. 690
• Main Authors: Anade, Dadja, Gorce, Jean-Marie, Mary, Philippe, Perlaza, Samir M.
• Format: Journal Article
• Language: English
• Published: MDPI 20.06.2020; MDPI AG
• Subjects: memoryless channels; saddlepoint approximation; sums of independent and identically random variables

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. Th...