A Closed-Form Approximation for the CDF of the Sum of Independent Random Variables

In this letter, we use the Berry-Esseen theorem and the method of tilted distributions to derive a simple tight closed-form approximation for the tail probabilities of a sum of independent but not necessarily identically distributed random variables. We also provide lower and upper bounds. The expre...

Full description

Bibliographic Details

Published in:	IEEE signal processing letters Vol. 24; no. 1; pp. 121 - 125
Main Authors:	Maya, Juan Augusto, Rey Vega, Leonardo, Galarza, Cecilia G.
Format:	Journal Article
Language:	English
Published:	IEEE 01-01-2017
Subjects:	Closed-form solutions Computational modeling Convergence Cumulative distribution function (CDF) approximation Distribution functions Probability density function quadratic Gaussian form distribution Random variables tail probability approximation Upper bound
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!