Generation method of correlated non-Gaussian random variables

MaRDI QIDQ3611221zbMATH OpenFDO

Authors Weiqun Shu

Publication date 6 March 2009

zbMATH Keywords

Cholesky decompositioncorrelated non-Gaussian variablesHermite developmentmeasurement uncertainty evaluationMonte Carlo method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10)

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(6)

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• Power margin quality measures for correlated random variates derived from the normal distribution
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