Generating multivariate correlated samples

DOI10.1007/S00180-006-0254-YMaRDI QIDQ880897zbMATH OpenOpenAlexFDO

Authors Arnab Chakraborty

Publication date 29 May 2007

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-006-0254-y

zbMATH Keywords

bootstrapsimulated annealingpermutationnumerical examplesalgorithmrisk analysis

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Random number generation in numerical analysis (65C10) Sampling theory, sample surveys (62D05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 1139029 (Why is no real title available?)
• scientific article; zbMATH DE number 1942835 (Why is no real title available?)
• scientific article; zbMATH DE number 3892457 (Why is no real title available?)
• A distribution-free approach to inducing rank correlation among input variables
• A heuristic approach for the generation of multivariate random samples with specified marginal distributions and correlation matrix
• A method for simulating non-normal distributions
• An approximate method for sampling corrrelated random variables from partially-specified distributions.
• Generating random deviates from multivariate Pearson distributions
• Generation of Pseudorandom Numbers with Specified Univariate Distributions and Correlation Coefficients
• Generation of multivariate normal samples with given sample mean and covariance matrix
• Simulating multivariate nonnormal distributions

Cited in

(16)

• Correlation matrix with block structure and efficient sampling methods
• A matching algorithm for generation of statistically dependent random variables with arbitrary marginals
• scientific article; zbMATH DE number 4022411 (Why is no real title available?)
• Generation of multivariate normal samples with given sample mean and covariance matrix
• Simulating Controlled Variate and Rank Correlations Based on the Power Method Transformation
• Fast poisson and binomial algorithms for correlationinduction^**This research is partially supported by the Office of Naval Research contract N00014-7942-0832 through Purdue University$ef:
• A Method to Generate Multivariate Data with the Desired Moments
• Generating correlated ordinal categorical random samples
• Modelling correlated random variables
• A heuristic approach for the generation of multivariate random samples with specified marginal distributions and correlation matrix
• A multidimensional random number generating method based on the sample covariance matrix
• scientific article; zbMATH DE number 3843050 (Why is no real title available?)
• Simulation optimization and correlation with multi stage Monte Carlo optimization
• Further properties of random orthogonal matrix simulation
• A simple distribution-free algorithm for generating simulated high-dimensional correlated data with an autoregressive structure
• A method for generating realistic correlation matrices

Describes a project that uses

Uses Software

• bootstrap

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