The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables

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Author

Date

2011

Type

Journal Article

ETH Bibliography

yes

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Publication status

published

External links

Journal / series

Bernoulli

Volume

17(2)

Pages / Article No.

562 - 591

Publisher

International Statistical Institute

Subject

convolution; distribution functions

Organisational unit

03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)

Notes

Received May 2009, Revised January 2010.

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yes

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