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

DOI10.1080/17442508.2011.566337zbMath1259.65009OpenAlexW2066691723MaRDI QIDQ3145076

Philipp Arbenz, Giovanni Puccetti, Paul Embrechts

Publication date: 13 December 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2011.566337

zbMATH Keywords

algorithmconvergenceconvolutionnumerical examplesdistribution functionsquasi Monte Carlo methoddependent random variable

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probability distributions: general theory (60E05)

Related Items (10)

Copula-based measurement error models ⋮ A Conversation With Paul Embrechts ⋮ Computing the distribution of the sum of dependent random variables via overlapping hypercubes ⋮ When copulas and smoothing met: an interview with Irène Gijbels ⋮ Simple risk measure calculations for sums of positive random variables ⋮ A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks ⋮ On the distribution of sums of random variables with copula-induced dependence ⋮ A comprehensive family of copulas to model bivariate random noise and perturbation ⋮ Simulation methods for robust risk assessment and the distorted mix approach ⋮ Computation of distributions of statistics by means of Markov chains

Cites Work

• The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
• An introduction to copulas.

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