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

34 citations · 34 across the 1 of their papers we have counts for

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math.ST2011★ 34 cited

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

Philipp Arbenz, Paul Embrechts, Giovanni Puccetti

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