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

Marcello Galeotti ()
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Marcello Galeotti: Dipartimento di Statistica, Informatica e Applicazioni, Universita' degli Studi di Firenze

No 2013-01, Working Papers - Mathematical Economics from Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa

Abstract: 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.

Keywords: algorithm convergence; dependent random variables; measure theory (search for similar items in EconPapers)
JEL-codes: C6 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2013-01
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:flo:wpaper:2013-01

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