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

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Author
Arbenz, Philipp
Embrechts, Paul
Puccetti, Giovanni
Date
2012-12
Type
  • Journal Article
Publication status
published
External links
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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 (emeritus)  
Notes
Received 2 September 2010, Final version received 22 February 2011, Published online 4 October 2011.
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Citations
Cited 5 times in Scopus
ETH Bibliography
yes
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