An approximate iterative algorithm for modeling of non-Gaussian vectors with given marginal distributions and a covariance matrix

DOI10.15372/SJNM20230401MaRDI QIDQ6183103zbMATH OpenFDO

Authors Marina S. Akenteva, N. A. Kargapolova, V. A. Ogorodnikov

Publication date 26 January 2024

Full work available at URL http://mathnet.ru/eng/sjvm849

zbMATH Keywords

covariance matrixmarginal distributionsnon-Gaussian stochastic processesstochastic modeling

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Numerical computation of matrix exponential and similar matrix functions (65F60)

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Cites work

• A distribution-free approach to inducing rank correlation among input variables
• Multivariate transformed Gaussian processes

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