Abstract— The objective of the study is estimating probability density functions of arithmetic operations on random variables. There are many methods that use specific parametrical and non-parametrical models in order to obtain accurate results. However, there are not many studies on speed of convergence and computation complexity of these methods.
This paper introduces a new method of estimation used to obtain results on bounded random variables. The method is based on a new publication provided by Jaroszewicz and Korzen (2012). The algorithm uses numerical analysis techniques such as numerical integration and curve interpolation. Author’s method is compared to the well-known Monte Carlo method.
Keywords— Random Variables, Arithmetical operations, Numerical integration, Curve Interpolation, Monte Carlo Method, Convergence.
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