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Saddlepoint Approximation for Linear Function of Uniformly-Distributed Data

We follow the method of Section 2.3.2.
Let be a set of independent uniform-distributed RV in
Let be an -by- full-rank matrix and let
be the feature vector

When
is uniformly distributed, the CGF is given by

For conciseness, define

Then,

and

From these expressions, we may find the saddle-point (2.12).

Baggenstoss
2017-05-19