An algorithm to generate samples of multi-variate distributions with correlated marginals.

DOI10.1016/S0167-9473(98)00005-XzbMath1042.65504OpenAlexW1973271928WikidataQ127481550 ScholiaQ127481550MaRDI QIDQ1129100

P. A. G. van der Geest

Publication date: 13 August 1998

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(98)00005-x

zbMATH Keywords

Monte-Carlo simulationDependenciesCorrelated random samplesMulti-variate non-Gaussian distribution

Mathematics Subject Classification ID

Related Items (2)

Normal correlation coefficient of non-normal variables using piece-wise linear approximation ⋮ Polynomial chaos representation of spatio-temporal random fields from experimental measurements

Cites Work

• A distribution-free approach to inducing rank correlation among input variables
• Some properties of the bivariate normal distribution considered in the form of a contingency table
• Generation of Pseudorandom Numbers with Specified Univariate Distributions and Correlation Coefficients
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