The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables

Abstract

We propose a new algorithm to compute numerically the distribution function of the sum of $d$ dependent, non-negative random variables with given joint distribution.

Published in at http://dx.doi.org/10.3150/10-BEJ284 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)

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