Catalogo Articoli (Spogli Riviste)

OPAC HELP

Titolo:
AN APPROXIMATE METHOD FOR SAMPLING CORRELATED RANDOM-VARIABLES FROM PARTIALLY-SPECIFIED DISTRIBUTIONS
Autore:
LURIE PM; GOLDBERG MS;
Indirizzi:
INST DEF ANAL,1801 N BEAUREGARD ST ALEXANDRIA VA 22311
Titolo Testata:
Management science
fascicolo: 2, volume: 44, anno: 1998,
pagine: 203 - 218
SICI:
0025-1909(1998)44:2<203:AAMFSC>2.0.ZU;2-V
Fonte:
ISI
Lingua:
ENG
Soggetto:
MULTIVARIATE;
Keywords:
SIMULATION; RANDOM NUMBER GENERATION; CORRELATION; GAUSS-NEWTON METHOD;
Tipo documento:
Article
Natura:
Periodico
Settore Disciplinare:
Physical, Chemical & Earth Sciences
CompuMath Citation Index
Science Citation Index Expanded
Citazioni:
25
Recensione:
Indirizzi per estratti:
Citazione:
P.M. Lurie e M.S. Goldberg, "AN APPROXIMATE METHOD FOR SAMPLING CORRELATED RANDOM-VARIABLES FROM PARTIALLY-SPECIFIED DISTRIBUTIONS", Management science, 44(2), 1998, pp. 203-218

Abstract

This paper presents an algorithm for generating correlated vectors ofrandom numbers. The user need not fully specify the joint distribution function; instead, the user ''partially specifies'' only the marginal distributions and the correlation matrix. The algorithm may be applied to any set of continuous, strictly increasing distribution functions; the marginal distributions need not all be of the same functional form. The correlation matrix is first checked for mathematical consistency (positive semi-definiteness), and adjusted if necessary. Then the correlated random vectors are generated using a combination of Cholesky decomposition and Gauss-Newton iteration. Applications are made to cost analysis, where correlations are often present between cost elements in a work breakdown structure.

ASDD Area Sistemi Dipartimentali e Documentali, Università di Bologna, Catalogo delle riviste ed altri periodici
Documento generato il 04/07/20 alle ore 17:55:33