Generating multivariate correlated samples (Q880897)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Generating multivariate correlated samples |
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Generating multivariate correlated samples (English)
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29 May 2007
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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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permutation
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simulated annealing
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bootstrap
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numerical examples
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algorithm
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risk analysis
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