The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables

Author:

Arbenz Philipp1,Embrechts Paul2,Puccetti Giovanni3

Affiliation:

1. a Department of Mathematics , ETH Zurich , 8092 , Zurich , Switzerland

2. b Swiss Finance Institute, Department of Mathematics , ETH Zurich , 8092 , Zurich , Switzerland

3. c Department of Mathematics for Decisions , University of Firenze , 50134 , Firenze , Italy

Publisher

Informa UK Limited

Subject

Modeling and Simulation,Statistics and Probability

Cited by 12 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. When copulas and smoothing met: An interview with Irène Gijbels;Dependence Modeling;2023-01-01

2. Computation of distributions of statistics by means of Markov chains;Discrete Mathematics and Applications;2022-08-01

3. Simulation methods for robust risk assessment and the distorted mix approach;European Journal of Operational Research;2022-04

4. A comprehensive family of copulas to model bivariate random noise and perturbation;Fuzzy Sets and Systems;2021-07

5. A Conversation With Paul Embrechts;International Statistical Review;2020-10-19

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