C-NORTA: A Rejection Procedure for Sampling from the Tail of Bivariate NORTA Distributions

DOI10.1287/ijoc.1100.0447zbMath1465.62094OpenAlexW2124318595MaRDI QIDQ2815446

Raghu Pasupathy, Soumyadip Ghosh

Publication date: 29 June 2016

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10919/25825

zbMATH Keywords

correlationsimulationstatisticsrandom variable generationmultivariate distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Random fields (60G60) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items

Single observation adaptive search for discrete and continuous stochastic optimization ⋮ The Combined Model: A Tool for Simulating Correlated Counts with Overdispersion

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Iterative estimation maximization for stochastic linear programs with conditional value-at-risk constraints
• A note on multivariate Gaussian estimates
• Bivariate distributions with given marginals
• An introduction to copulas. Properties and applications
• Stochastic simulation: Algorithms and analysis
• Initialization for NORTA: Generation of Random Vectors with Specified Marginals and Correlations
• Efficient Correlation Matching for Fitting Discrete Multivariate Distributions with Arbitrary Marginals and Normal-Copula Dependence
• Variance Reduction Techniques for Estimating Value-at-Risk
• Importance Sampling for Portfolio Credit Risk
• An Efficient Method for Generating Discrete Random Variables with General Distributions
• Behavior of the NORTA method for correlated random vector generation as the dimension increases
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors