Generating multivariate correlated samples
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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.
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Cited in
(18)- A matching algorithm for generation of statistically dependent random variables with arbitrary marginals
- An algorithm to generate samples of multi-variate distributions with correlated marginals.
- A heuristic approach for the generation of multivariate random samples with specified marginal distributions and correlation matrix
- Further properties of random orthogonal matrix simulation
- A simple distribution-free algorithm for generating simulated high-dimensional correlated data with an autoregressive structure
- 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:
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