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

Arbenz, Philipp, Embrechts, Paul, Puccetti, Giovanni . Bernoulli 2011. 17 (2) :562-591

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Bibtex

@article{CIS-252188,
  Author = {Arbenz, Philipp and Embrechts, Paul and Puccetti, Giovanni},
  Title = {The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables},
  Journal = {Bernoulli},
  Volume = {17},
  Number = {2},
  Year = {2011},
  Pages = {562--591},
  Keywords = {Convolution, distribution functions}
}

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