Using the sum-of-uniforms method to generate correlated random variates with certain marginal distribution

DOI10.1016/J.EJOR.2003.12.027MaRDI QIDQ2484355zbMATH OpenOpenAlexFDO

Authors Jung-Tai Chen

Publication date 1 August 2005

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

Full work available at URL https://doi.org/10.1016/j.ejor.2003.12.027

zbMATH Keywords

Correlated random variatesMultivariate generationSimulation

Mathematics Subject Classification ID

Operations research and management science (90B99)

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Cites work

• A method to generate autocorrelated uniform random numbers
• Autoregressive to anything: Time-series input processes for simulation
• Generating pseudo-random time series with specified marginal distributions
• scientific article; zbMATH DE number 997340 (Why is no real title available?)
• scientific article; zbMATH DE number 3976122 (Why is no real title available?)
• scientific article; zbMATH DE number 1484400 (Why is no real title available?)
• The effect of correlated exponential service times on single server tandem queues

Cited in

(7)

• Generating statistically dependent pairs of random variables: A marginal distribution approach
• Initialization for NORTA: generation of random vectors with specified marginals and correlations
• Generating correlated random vector involving discrete variables
• A simple generalization of the Box-Muller method for obtaining a pair of correlated standard normal variables
• Generation of a random sequence having a jointly specified marginal distribution and autocovariance
• TES: A Class of Methods for Generating Autocorrelated Uniform Variates
• An algorithm for generating positively correlated beta-distributed random variables with known marginal distributions and a specified correlation

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