Case studies in multivariate-to-anything transforms for partially specified random vector gener\-a\-tion
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Publication:2567089
DOI10.1016/j.insmatheco.2004.12.005zbMath1101.62056OpenAlexW2089223728MaRDI QIDQ2567089
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
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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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