A heuristic approach for the generation of multivariate random samples with specified marginal distributions and correlation matrix
The paper presents a heuristic approach to the generation of multivariate random samples with specified marginal distributions and correlation matrix, which can be incorporated into risk analysis models to conduct simulation studies. The proposed sampling scheme involves two distinct steps: first a univariate random sample from each specified probability distribution is generated; then a heuristic combinatorial optimisation is used to rearrange the generated univariate samples, in order to obtain the desired correlations between them. The combinatorial optimisation step is performed with a simulated annealing algorithm, which changes only positions but not values of numbers generated in the first step. The proposed multivariate sampling approach can be used with any type of marginal distributions: continuous, parametric or non-parametric.
scientific article; zbMATH DE number 2169410