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

DOI10.1080/03610926.2018.1517891MaRDI QIDQ5077928zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 3438144 (Why is no real title available?)
• scientific article; zbMATH DE number 1409619 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• Fourier analysis of distribution functions. A mathematical study of the Laplace-Gaussian law
• On the Convergence Rate in the Central Limit Theorem for Weakly Dependent Random Variables
• Tables for Computing Bivariate Normal Probabilities
• The central limit theorem around 1935

Cited in

(1)

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

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