Generating multivariate correlated samples
type: Item
instance of: scholarly article
title: Generating multivariate correlated samples
zbMATH Open document ID: 1115.65006
author: Arnab Chakraborty
published in: Computational Statistics
publication date: 2007-05-29T00:00:00Z
review text: The author proposes a new algorithm for simulation of i.i.d. samples of (pseudo) random vectors with given marginal distributions and given correlation matrices. The algorithm is based on permutations and a simulated annealing technique. Results of simulations are described. Applications of the algorithm to bootstrap and to performing risk analysis using simulation are presented.
Mathematics Subject Classification ID: 65C10
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62D05
Mathematics Subject Classification ID: 62H20
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5158592
zbMATH Keywords: permutation
zbMATH Keywords: simulated annealing
zbMATH Keywords: bootstrap
zbMATH Keywords: numerical examples
zbMATH Keywords: algorithm
zbMATH Keywords: risk analysis
describes a project that uses: bootstrap
MaRDI profile type: Publication
full work available at URL: s00180-006-0254-y
OpenAlex ID: W2041016105
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DOI: 10.1007/S00180-006-0254-Y
description: scientific article; zbMATH DE number 5158592