The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
Statistics Theory
2011-06-16 v1 Statistics Theory
Abstract
We propose a new algorithm to compute numerically the distribution function of the sum of dependent, non-negative random variables with given joint distribution.
Keywords
Cite
@article{arxiv.1106.2920,
title = {The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables},
author = {Philipp Arbenz and Paul Embrechts and Giovanni Puccetti},
journal= {arXiv preprint arXiv:1106.2920},
year = {2011}
}
Comments
Published in at http://dx.doi.org/10.3150/10-BEJ284 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)