A matching algorithm for generation of statistically dependent random variables with arbitrary marginals

DOI10.1016/j.ejor.2007.09.024zbMath1157.90493OpenAlexW2033748569MaRDI QIDQ1011175

Nesa Ilich

Publication date: 8 April 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2007.09.024

zbMATH Keywords

correlationsimulationstochastic processesregressionstatistical dependence

Mathematics Subject Classification ID

Stochastic programming (90C15) Matching models (91B68)

Related Items (3)

A simple method for effective multi-site generation of stochastic hydrologic time series ⋮ Copula-based slope reliability analysis using the failure domain defined by the \(g\)-line ⋮ NORTA for portfolio credit risk

Uses Software

• IDAMS

Cites Work

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• Generation of Pseudorandom Numbers with Specified Univariate Distributions and Correlation Coefficients
• Modeling and generating multivariate time-series input processes using a vector autoregressive technique
• Behavior of the NORTA method for correlated random vector generation as the dimension increases

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