Computing the distribution of the sum of dependent random variables via overlapping hypercubes

DOI10.1007/S10203-015-0167-8MaRDI QIDQ894208zbMATH OpenOpenAlexFDO

Authors Marcello Galeotti

Publication date 27 November 2015

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL http://www.disei.unifi.it/upload/sub/pubblicazioni/repec/flo/workingpapers/diseiwpme/dimadwp2014-01.pdf

zbMATH Keywords

dependent random variablesalgorithmself-similarityvalue-at-riskalgorithm convergence

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Combinatorics and topology in relation with holomorphic dynamical systems (37F20) Algorithms for approximation of functions (65D15)

Recommendations

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Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• Coherent measures of risk
• The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
• The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables

Cited in

(2)

• The rearrangement algorithm of Puccetti and Rüschendorf: proving the convergence
• The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables

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