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

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Author

Date

2012-12

Type

Journal Article

ETH Bibliography

yes

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Publication status

published

External links

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) / Embrechts, Paul (emeritus)

Notes

Received 2 September 2010, Final version received 22 February 2011, Published online 4 October 2011.

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yes

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