Explicit Bounds for the Distribution Function of the Sum of Dependent Normally Distributed Random Variables

Details Explicit Bounds for the Distribution Function of the Sum of Dependent Normally Distributed Random Variables Explicit Bounds for the Distribution Function of the Sum of Dependent Normally Distributed Random Variables

2011-07-22

arxiv.org/abs/1107.4434v2

Mathematics

Probability

Keywords: Dependent RVs, Copulas, Frechet Bounds

Scientific paper

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.

Affiliated with

Also associated with

No associations

Rating

Explicit Bounds for the Distribution Function of the Sum of Dependent Normally Distributed Random Variables does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Explicit Bounds for the Distribution Function of the Sum of Dependent Normally Distributed Random Variables, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Explicit Bounds for the Distribution Function of the Sum of Dependent Normally Distributed Random Variables will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-676080