The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables

TL;DR

This paper introduces a novel algorithm for efficiently computing the distribution of the sum of dependent, non-negative random variables with a specified joint distribution, addressing a complex problem in probability theory.

Contribution

The paper presents a new algorithm that significantly improves the numerical computation of the sum distribution for dependent non-negative variables.

Findings

Algorithm achieves faster computation times.

Accurately handles dependencies among variables.

Applicable to high-dimensional problems.

Abstract

We propose a new algorithm to compute numerically the distribution function of the sum of $d$ dependent, non-negative random variables with given joint distribution.