We introduce a new algorithm for numerically computing the distribution of an increasing function of d dependent, non-negative random variables with a given joint distribution. We prove the convergence of the algorithm and give convergence rates under regularity conditions.
The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables / P. Arbenz, P. Embrechts, G. Puccetti. - In: STOCHASTICS. - ISSN 1744-2508. - 84:5/6(2012 Oct), pp. 569-597.
The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables
G. Puccetti
2012
Abstract
We introduce a new algorithm for numerically computing the distribution of an increasing function of d dependent, non-negative random variables with a given joint distribution. We prove the convergence of the algorithm and give convergence rates under regularity conditions.
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