A heuristic approach for the generation of multivariate random samples with specified marginal distributions and correlation matrix
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Publication:1775958
DOI10.1007/BF02892061zbMath1068.65007OpenAlexW2036519254MaRDI QIDQ1775958
Panayiota L. Panteli, Dimos C. Charmpis
Publication date: 20 May 2005
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02892061
samplingsimulationsimulated annealing algorithmrandom number generationcorrelation matrixcombinatorial optimisationmultivariate distributionrisk analysis models
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- An Approximate Method for Sampling Correlated Random Variables from Partially-Specified Distributions
- Generation of multivariate normal samples with given sample mean and covariance matrix
- Generation of Pseudorandom Numbers with Specified Univariate Distributions and Correlation Coefficients
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