Bounds for the error in an approximation to the distribution of continuous random vectors with bounded supports: Bounds for the error in an approximation: Communications in Statistics

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Abstract

An approximation for the distributions of m-dimensional random variables with absolutely continuous cumulative distribution functions and bounded supports is presented. In addition, two easily computed bounds for the error in using the approximation rather than the actual distribution are provided for any measurable region.

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Bounds for the error in an approximation to the distribution of continuous random vectors with bounded supports