A heuristic approach for the generation of multivariate random samples with specified marginal distributions and correlation matrix

DOI10.1007/BF02892061zbMath1068.65007OpenAlexW2036519254MaRDI QIDQ1775958

Panayiota L. Panteli, Dimos C. Charmpis

Publication date: 20 May 2005

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02892061

zbMATH Keywords

samplingsimulationsimulated annealing algorithmrandom number generationcorrelation matrixcombinatorial optimisationmultivariate distributionrisk analysis models

Mathematics Subject Classification ID

Related Items (2)

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• An Approximate Method for Sampling Correlated Random Variables from Partially-Specified Distributions
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• Generation of Pseudorandom Numbers with Specified Univariate Distributions and Correlation Coefficients

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