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.
Citation
Philipp Arbenz. Paul Embrechts. Giovanni Puccetti. "The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables." Bernoulli 17 (2) 562 - 591, May 2011. https://doi.org/10.3150/10-BEJ284
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