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FAST COMPUTATIONAL ALTERNATIVE TO MONTE CARLO SIMULATION OF AN OUTPUT DISTRIBUTION

    https://doi.org/10.1142/9789812702647_0038Cited by:0 (Source: Crossref)
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    Abstract:

    We describe a method for the rapid calculation of an interval covering approximately a specified proportion of the distribution of a function of independent random variables. Its speed will make it particularly valuable in inverse problems. The first four moments of the output variable are obtained by combining the moments of the input variables according to the function. A Pearson distribution is fitted to these moments to give 95% intervals that are accurate in practice.