Bounds for some general sums of random variables

Zinoviy Landsman; Steven Vanduffel

doi:10.1016/j.spl.2010.11.018

Bounds for some general sums of random variables

Zinoviy Landsman, Steven Vanduffel

Department of Statistics

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	382-391
Number of pages	10
Journal	Statistics and Probability Letters
Volume	81
Issue number	3
DOIs	https://doi.org/10.1016/j.spl.2010.11.018
State	Published - Mar 2011

Keywords

Bounds
Dependence
Exponential dispersion family

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1016/j.spl.2010.11.018

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AB - 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.

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KW - Dependence

KW - Exponential dispersion family

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SP - 382

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JO - Statistics and Probability Letters

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ER -

Bounds for some general sums of random variables

Abstract

Keywords

ASJC Scopus subject areas

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