Generating multivariate correlated samples

DOI10.1007/s00180-006-0254-yzbMath1115.65006MaRDI QIDQ880897

Arnab Chakraborty

Publication date: 29 May 2007

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-006-0254-y

zbMATH Keywords

bootstrap; algorithm; numerical examples; risk analysis; simulated annealing; permutation

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62H20: Measures of association (correlation, canonical correlation, etc.)

62D05: Sampling theory, sample surveys

65C10: Random number generation in numerical analysis

Uses Software

• bootstrap

Cites Work

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• A method for simulating non-normal distributions
• A distribution-free approach to inducing rank correlation among input variables
• Simulating multivariate nonnormal distributions
• A heuristic approach for the generation of multivariate random samples with specified marginal distributions and correlation matrix
• Generating random deviates from multivariate Pearson distributions
• An Approximate Method for Sampling Correlated Random Variables from Partially-Specified Distributions
• Generation of multivariate normal samples with given sample mean and covariance matrix
• Generation of Pseudorandom Numbers with Specified Univariate Distributions and Correlation Coefficients