Noninverse correlation induction: Guidelines for algorithm development

DOI10.1016/0377-0427(90)90348-4MaRDI QIDQ1813816zbMATH OpenOpenAlexFDO

Authors Voratas Kachitvichyanukul, Bruce W. Schmeiser

Publication date 25 June 1992

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0377-0427(90)90348-4

zbMATH Keywords

correlationalgorithmrandom number generationcomputer simulationuniform random variablesexponential and beta distributionsrejection procedure

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10) Probabilistic methods, stochastic differential equations (65C99) Measures of association (correlation, canonical correlation, etc.) (62H20)

Recommendations

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Cites work

• scientific article; zbMATH DE number 193976 (Why is no real title available?)
• scientific article; zbMATH DE number 3992765 (Why is no real title available?)
• A perspective on variance reduction in dynamic simulation experiments
• Beta Variate Generation via Exponential Majorizing Functions
• 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:
• Variance Reduction Techniques for Digital Simulation

Cited in

(16)

• A matching algorithm for generation of statistically dependent random variables with arbitrary marginals
• 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:
• Generation of crosscorrelated random processes
• A bivariate distribution family with specified correlation coefficient and given marginals
• A simple approach to the generation of uniformly distributed random variables with prescribed correlations
• Using the sum-of-uniforms method to generate correlated random variates with certain marginal distribution
• scientific article; zbMATH DE number 4109918 (Why is no real title available?)
• A simple generalization of the Box-Muller method for obtaining a pair of correlated standard normal variables
• Modelling correlated random variables
• Generation method of correlated non-Gaussian random variables
• Generating correlated random variables for a simulation model
• scientific article; zbMATH DE number 3843050 (Why is no real title available?)
• Inducing a desired value of correlation between two point-scale variables: a two-step procedure using copulas
• On the effect of inducted negative correlation rate for beta acceptance-rejection algorithms
• Normal correlation coefficient of non-normal variables using piece-wise linear approximation
• scientific article; zbMATH DE number 3862307 (Why is no real title available?)

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