Abstract: We introduce a new algorithm for numerically computing the distribution of an increasing function of d dependent, non-negative random variables with a given joint distribution. We prove the convergence of the algorithm and give convergence rates under regularity conditions.
The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables / P.Arbenz; P.Embrechts; G.Puccetti. - In: STOCHASTICS. - ISSN 1744-2508. - STAMPA. - 84:(2012), pp. 569-597. [10.1080/17442508.2011.566337]
The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables
PUCCETTI, GIOVANNI
2012
Abstract
Abstract: We introduce a new algorithm for numerically computing the distribution of an increasing function of d dependent, non-negative random variables with a given joint distribution. We prove the convergence of the algorithm and give convergence rates under regularity conditions.
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