The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables

Details The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables

2011-06-15

arxiv.org/abs/1106.2920v1

Bernoulli 2011, Vol. 17, No. 2, 562-591

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.3150/10-BEJ284 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti

Scientific paper

10.3150/10-BEJ284

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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