Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152455 | Statistics & Probability Letters | 2011 | 10 Pages |
Abstract
Rogers and Shi (1995) have used the technique of conditional expectations to derive approximations for the distribution of a sum of lognormals. In this paper we extend their results to more general sums of random variables. In particular we study sums of functions of dependent random variables that are multivariate normally distributed and also derive results for sums of functions of dependent random variables from the additive exponential dispersion family. The usefulness of our results for practical applications is also discussed.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Zinoviy Landsman, Steven Vanduffel,