Article ID Journal Published Year Pages File Type
4640069 Journal of Computational and Applied Mathematics 2012 8 Pages PDF
Abstract

We propose a new algorithm to compute numerically sharp lower and upper bounds on the distribution of a function of dd dependent random variables having fixed marginal distributions. Compared to the existing literature, the bounds are widely applicable, more accurate and more easily obtained.

Keywords
Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
Preview
Computation of sharp bounds on the distribution of a function of dependent risks
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