Statool: A Tool for Distribution Envelope Determination (DEnv), an Interval-Based Algorithm for Arithmetic on Random Variables

Statool: A Tool for Distribution Envelope Determination (DEnv), an Interval-Based Algorithm for... We present Statool, a software tool for obtaining bounds on the distributions of sums, products, and various other functions of random variables where the dependency relationship of the random variables need not be specified. Statool implements the DEnv algorithm, which we have described previously [4] but not implemented. Our earlier tool addressed only the much more elementary case of independent random variables [3]. An existing tool, RiskCalc [13], also addresses the case of unknown dependency using a different algorithm [33] based on copulas [23], while descriptions and implementations of still other algorithms for similar problems will be reported soon [17] as the area proceeds through a phase of rapid development. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Reliable Computing Springer Journals

Statool: A Tool for Distribution Envelope Determination (DEnv), an Interval-Based Algorithm for Arithmetic on Random Variables

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Publisher
Kluwer Academic Publishers
Copyright
Copyright © 2003 by Kluwer Academic Publishers
Subject
Mathematics; Numeric Computing; Approximations and Expansions; Computational Mathematics and Numerical Analysis; Mathematical Modeling and Industrial Mathematics
ISSN
1385-3139
eISSN
1573-1340
D.O.I.
10.1023/A:1023082100128
Publisher site
See Article on Publisher Site

Abstract

We present Statool, a software tool for obtaining bounds on the distributions of sums, products, and various other functions of random variables where the dependency relationship of the random variables need not be specified. Statool implements the DEnv algorithm, which we have described previously [4] but not implemented. Our earlier tool addressed only the much more elementary case of independent random variables [3]. An existing tool, RiskCalc [13], also addresses the case of unknown dependency using a different algorithm [33] based on copulas [23], while descriptions and implementations of still other algorithms for similar problems will be reported soon [17] as the area proceeds through a phase of rapid development.

Journal

Reliable ComputingSpringer Journals

Published: Oct 17, 2004

References

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