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.
The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables / P. Arbenz, P. Embrechts, G. Puccetti. - In: BERNOULLI. - ISSN 1350-7265. - 17:2(2011 May), pp. 562-591. [10.3150/10-BEJ284]
The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
G. PuccettiUltimo
2011
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.
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