Convergence of sums of dependent Bernoulli random variables: an application from portfolio theory

DOI10.1080/03610926.2018.1517891OpenAlexW2902238235MaRDI QIDQ5077928FDOQ5077928

Authors: Madelyn Houser, Pak-Wing Fok 

Publication date: 20 May 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1517891

zbMATH Keywords

central limit theoremdependent random variablesVasicekcredit portfolio

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Statistics (62-XX) Central limit and other weak theorems (60F05) Portfolio theory (91G10)

Cites Work

• Fourier analysis of distribution functions. A mathematical study of the Laplace-Gaussian law
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• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• The central limit theorem around 1935
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• On the Convergence Rate in the Central Limit Theorem for Weakly Dependent Random Variables
• Tables for Computing Bivariate Normal Probabilities

Cited In (1)

• Comparison of portfolios which depend on multivariate Bernoulli random variables with fixed marginals.

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