Bounds for some general sums of random variables

Zinoviy Landsman and Steven Vanduffel ()

Statistics & Probability Letters, 2011, vol. 81, issue 3, 382-391

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: Bounds; Dependence; Exponential; dispersion; family (search for similar items in EconPapers)
Date: 2011
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