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

Author： Arbenz Philipp   Embrechts Paul   Puccetti Giovanni  

Publisher： Taylor & Francis Ltd

ISSN： 1744-2508

Source： Stochastics: An International Journal of Probability and Stochastic Processes, Vol.84, Iss.5-6, 2012-10, pp. : 569-597

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