The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables (Q3145076)
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scientific article; zbMATH DE number 6115678
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| English | The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables |
scientific article; zbMATH DE number 6115678 |
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The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables (English)
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13 December 2012
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convolution
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distribution functions
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dependent random variable
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algorithm
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convergence
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numerical examples
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quasi Monte Carlo method
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0.9174894
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0.8521929
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0.8494501
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0.8479701
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0.8472754
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0.8456021
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0.84550285
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0.8438889
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