The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables

Thumbnail
Metadata only
Author
Arbenz, Philipp
Embrechts, Paul
Puccetti, Giovanni
Date
2012-12
Type
  • Journal Article
Publication status
published
External links
Search via SFX
Journal / series
Stochastics
Volume
84(5-6)
Pages / Article No.
569 - 597
Publisher
Taylor & Francis
Subject
Convolution; Distribution functions; Dependent random variables
Organisational unit
03288 - Embrechts, Paul  
Notes
Received 2 September 2010, Final version received 22 February 2011, Published online 4 October 2011.
More
Show all metadata
Citations
Cited 3 times in Web of Science
ETH Bibliography
yes
Altmetrics