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On the Sum of Order Statistics and Applications to Wireless Communication Systems Performances
Nadhir Ben Rached, Zdravko Botev, Abla Kammoun +2
We consider the problem of evaluating the cumulative distribution function (CDF) of the sum of order statistics, which serves to compute outage probability (OP) values at the outpu…
Monte Carlo Estimation of the Density of the Sum of Dependent Random Variables
Patrick J. Laub, Robert Salomone, Zdravko I. Botev
We study an unbiased estimator for the density of a sum of random variables that are simulated from a computer model. A numerical study on examples with copula dependence is conduc…
Accurate Computation of the Distribution of Sums of Dependent Log-Normals with Applications to the Black-Scholes Model
Zdravko Botev, Robert Salomone, Daniel MacKinlay
We present a new Monte Carlo methodology for the accurate estimation of the distribution of the sum of dependent log-normal random variables. The methodology delivers statistically…