A fast and accurate numerical method for the left tail of sums of independent random variables
DOI10.1007/S11222-024-10514-5MaRDI QIDQ6657807
Nadhir Ben Rached, Johannes Vincent Meo, Håkon Hoel
Publication date: 7 January 2025
Published in: Statistics and Computing (Search for Journal in Brave)
rare eventsfast Fourier transformindependent random variablesdiscrete convolutionNewton-Cotes rulesleft tail
Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for problems pertaining to probability theory (60-08) Sums of independent random variables; random walks (60G50)
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