Walter Schneider. Explicit Bounds for the Distribution Function of the Sum of Dependent Normally Distributed Random Variables

Natural Sciences / Mathematics / Probability

Submitted on: May 05, 2012, 04:41:03

Description: In this paper an analytic expression is given for the bounds of the distribution function of the sum of dependent normally distributed random variables. Using the theory of copulas and the important Frechet bounds the dependence structure is not restricted to any specific type. Numerical illustrations are provided to assess the quality of the derived bounds.

The full-text article has been published in the "IntellectualArchive" journal , Vol.1, Num.1, May 2012, ISSN 1929-4700.

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