Computing the probability measure of a d-dimensional simplex via overlapping hypercubes

We prove the convergence of a deterministic algorithm to compute the distribution function of the sum of d >1 dependent random variables, with given joint distribution, via the approximation of the probability measure of a d-dimensional symplex by overlapping hypercubes.

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Year of publication:	2013-01
Authors:	Galeotti, Marcello
Institutions:	Dipartimento di Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze
Subject:	algorithm convergence \| dependent random variables \| measure theory

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Extent:	application/pdf
Series:	Working Papers - Mathematical Economics.
Type of publication:	Book / Working Paper
Notes:	Number 2013-01 19 pages
Classification:	C6 - Mathematical Methods and Programming
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010816296