Explicit Bounds for the Distribution Function of the Sum of Dependent Normally Distributed Random Variables
Probability
2011-07-26 v2
Abstract
In this paper an analytic expression is given for the bounds of the distribution function of the sum of dependent normally distributed random variables. Using the theory of copulas and the important Frechet bounds the dependence structure is not restricted to any specific type. Numerical illustrations are provided to assess the quality of the derived bounds.
Cite
@article{arxiv.1107.4434,
title = {Explicit Bounds for the Distribution Function of the Sum of Dependent Normally Distributed Random Variables},
author = {Walter Schneider},
journal= {arXiv preprint arXiv:1107.4434},
year = {2011}
}
Comments
Keywords: Dependent RVs, Copulas, Frechet Bounds