Case studies in multivariate-to-anything transforms for partially specified random vector gener\-a\-tion

DOI10.1016/J.INSMATHECO.2004.12.005MaRDI QIDQ2567089zbMATH OpenOpenAlexFDO

Authors Stephen Stanhope

Publication date 29 September 2005

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2004.12.005

zbMATH Keywords

random vector generationsimulation

Mathematics Subject Classification ID

Multivariate analysis (62H99) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10)

Recommendations

• Behavior of the NORTA method for correlated random vector generation as the dimension increases
• C-NORTA: a rejection procedure for sampling from the tail of bivariate NORTA distributions
• Chessboard Distributions and Random Vectors with Specified Marginals and Covariance Matrix
• scientific article; zbMATH DE number 3969979
• scientific article; zbMATH DE number 4003291

Cites work

• Acceptance–Rejection Sampling Made Easy
• An approximate method for sampling corrrelated random variables from partially-specified distributions.
• Behavior of the NORTA method for correlated random vector generation as the dimension increases
• Bivariate Gamma Random Vectors
• Correlations and copulas for decision and risk analysis
• Generation of Pseudorandom Numbers with Specified Univariate Distributions and Correlation Coefficients
• scientific article; zbMATH DE number 3712886 (Why is no real title available?)
• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• scientific article; zbMATH DE number 3436435 (Why is no real title available?)
• scientific article; zbMATH DE number 1821111 (Why is no real title available?)
• scientific article; zbMATH DE number 791392 (Why is no real title available?)
• scientific article; zbMATH DE number 3326903 (Why is no real title available?)
• scientific article; zbMATH DE number 3357742 (Why is no real title available?)
• Initialization for NORTA: generation of random vectors with specified marginals and correlations
• Linear Transformation to a Set of Stochastically Dependent Normal Variables
• Mersenne twister
• Numerical Analysis for Statisticians
• The multivariate normal distribution
• The Probability Integral Transform and Related Results

Cited in

(6)

• NORTA for portfolio credit risk
• C-NORTA: a rejection procedure for sampling from the tail of bivariate NORTA distributions
• Initialization for NORTA: generation of random vectors with specified marginals and correlations
• Chessboard Distributions and Random Vectors with Specified Marginals and Covariance Matrix
• Behavior of the NORTA method for correlated random vector generation as the dimension increases
• Normal correlation coefficient of non-normal variables using piece-wise linear approximation

Describes a project that uses

Uses Software

• MersenneTwister

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