A heuristic approach for the generation of multivariate random samples with specified marginal distributions and correlation matrix
type: Item
instance of: scholarly article
title: A heuristic approach for the generation of multivariate random samples with specified marginal distributions and correlation matrix
zbMATH Open document ID: 1068.65007
DOI: 10.1007/BF02892061
author: Dimos C. Charmpis
author: Panayiota L. Panteli
published in: Computational Statistics
publication date: 2005-05-20T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 65C10
Mathematics Subject Classification ID: 62D05
Mathematics Subject Classification ID: 62H20
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 90C27
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 2169410
zbMATH Keywords: random number generation
zbMATH Keywords: simulation
zbMATH Keywords: multivariate distribution
zbMATH Keywords: correlation matrix
zbMATH Keywords: simulated annealing algorithm
zbMATH Keywords: risk analysis models
zbMATH Keywords: sampling
zbMATH Keywords: combinatorial optimisation
MaRDI profile type: Publication
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full work available at URL: https://doi.org/10.1007/bf02892061
OpenAlex ID: W2036519254
description: scientific article; zbMATH DE number 2169410