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Estimating Rare Event Probabilities Using Truncated Saddlepoint Approximations

Estimating Rare Event Probabilities Using Truncated Saddlepoint Approximations. Timothy I. Matis, Ph.D Ivan G. Guardiola Department of Industrial Engineering Texas Tech University. Overview of Presentation (ordering is not strict ). How I got here What are saddlepoint approximations

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Estimating Rare Event Probabilities Using Truncated Saddlepoint Approximations