The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables
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Date
2012-12Type
- Journal Article
ETH Bibliography
yes
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Publication status
publishedExternal links
Journal / series
StochasticsVolume
Pages / Article No.
Publisher
Taylor & FrancisSubject
Convolution; Distribution functions; Dependent random variablesOrganisational unit
03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
Notes
Received 2 September 2010, Final version received 22 February 2011, Published online 4 October 2011.More
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ETH Bibliography
yes
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