The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
Authors:
- Philipp ArbenzPAPhilipp Arbenz
- Paul EmbrechtsPEPaul Embrechts
- Giovanni PuccettiGPGiovanni Puccetti
Open Access
- 1 May 2011
- journal article
- Published by Bernoulli Society for Mathematical Statistics and Probability in Bernoulli
- Vol. 17 (2) , 562-591
Abstract
We propose a new algorithm to compute numerically the distribution function of the sum of $d$ dependent, non-negative random variables with given joint distribution.
Keywords
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