The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables
dc.contributor.author
Arbenz, Philipp
dc.contributor.author
Embrechts, Paul
dc.contributor.author
Puccetti, Giovanni
dc.date.accessioned
2017-06-09T17:10:32Z
dc.date.available
2017-06-09T17:10:32Z
dc.date.issued
2012-12
dc.identifier.issn
1744-2508
dc.identifier.issn
0090-9491
dc.identifier.issn
1744-2516
dc.identifier.other
10.1080/17442508.2011.566337
dc.identifier.uri
http://hdl.handle.net/20.500.11850/41077
dc.language.iso
en
dc.publisher
Taylor & Francis
dc.subject
Convolution
dc.subject
Distribution functions
dc.subject
Dependent random variables
dc.title
The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables
dc.type
Journal Article
ethz.journal.title
Stochastics
ethz.journal.volume
84
ethz.journal.issue
5-6
ethz.pages.start
569
ethz.pages.end
597
ethz.notes
Received 2 September 2010, Final version received 22 February 2011, Published online 4 October 2011.
ethz.identifier.nebis
000018077
ethz.publication.place
Abingdon
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
ethz.date.deposited
2017-06-09T17:10:45Z
ethz.source
ECIT
ethz.identifier.importid
imp59364ea1a4b2b45984
ethz.ecitpid
pub:68716
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-15T14:56:45Z
ethz.rosetta.lastUpdated
2022-03-28T10:08:34Z
ethz.rosetta.versionExported
true
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Journal Article [120852]