The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
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Publication:453289
DOI10.3150/10-BEJ284zbMath1248.60018arXiv1106.2920OpenAlexW2052874426MaRDI QIDQ453289
Paul Embrechts, Philipp Arbenz, Giovanni Puccetti
Publication date: 19 September 2012
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1106.2920
Probabilistic models, generic numerical methods in probability and statistics (65C20) Probability distributions: general theory (60E05) Distribution theory (60E99)
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Uses Software
Cites Work
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- On the Tail Behavior of Sums of Dependent Risks
- Generating Quasi-Random Paths for Stochastic Processes
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