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

DOI10.1007/S10203-015-0167-8zbMATH Open1335.65015OpenAlexW1497940710MaRDI QIDQ894208FDOQ894208

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

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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)

Cites Work

• Coherent measures of risk
• Title not available (Why is that?)
• The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables
• The AEP algorithm for the fast computation of the distribution of the sum 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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