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

DOI10.1016/j.insmatheco.2004.12.005zbMath1101.62056MaRDI QIDQ2567089

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

simulation; random vector generation

Mathematics Subject Classification ID

62H99: Multivariate analysis

65C05: Monte Carlo methods

65C10: Random number generation in numerical analysis

Uses Software

• MersenneTwister

Cites Work

• The multivariate normal distribution
• An Approximate Method for Sampling Correlated Random Variables from Partially-Specified Distributions
• Initialization for NORTA: Generation of Random Vectors with Specified Marginals and Correlations
• Correlations and Copulas for Decision and Risk Analysis
• Linear Transformation to a Set of Stochastically Dependent Normal Variables
• Acceptance–Rejection Sampling Made Easy
• Generation of Pseudorandom Numbers with Specified Univariate Distributions and Correlation Coefficients
• Mersenne twister
• Numerical Analysis for Statisticians
• The Probability Integral Transform and Related Results
• Behavior of the NORTA method for correlated random vector generation as the dimension increases
• Bivariate Gamma Random Vectors
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