Initialization for NORTA: generation of random vectors with specified marginals and correlations

DOI10.1287/IJOC.13.4.312.9736MaRDI QIDQ2884512zbMATH OpenOpenAlexFDO

Authors Huifen Chen

Publication date 30 May 2012

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

Full work available at URL https://doi.org/10.1287/ijoc.13.4.312.9736

zbMATH Keywords

controlroot finding simulation

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10)

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Cited in

(16)

• Accuracy of deterministic nonparametric frontier models with undesirable outputs
• On generating multivariate Poisson data in management science applications
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• Matching a correlation coefficient by a Gaussian copula
• A flexible multivariate model for high-dimensional correlated count data
• Modelling mixed types of outcomes in additive genetic models
• Case studies in multivariate-to-anything transforms for partially specified random vector gener\-a\-tion
• Designing \(\overline X\) charts for known autocorrelations and unknown marginal distribution
• Count Time Series: A Methodological Review
• C-NORTA: a rejection procedure for sampling from the tail of bivariate NORTA distributions
• A heuristic approach for the generation of multivariate random samples with specified marginal distributions and correlation matrix
• Normal correlation coefficient of non-normal variables using piece-wise linear approximation
• Generating correlated random vector involving discrete variables
• Corrigendum
• Latent Gaussian Count Time Series
• Transforming Gaussian correlations. Applications to generating long-range power-law correlated time series with arbitrary distribution

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