Simulation of a pairwise correlated stream of random events
Two special methods of simulating a pairwise correlated stream and its efficient generation are considered. The first one is related to the form of a stream of group points. The intensity of the stream A and the distribution of the value of the displacement of the base points are \(f^ A_ 1(x)=g_ 1(x)-\int_{\Omega}g_ 2(\tau,x)d\tau\) and \(\pi_{1| 1}(y;\Omega | x;\Omega)=g_ 2(x,y)/f^ A_ 1(x),\) \(y>x\) where \(g_ 1(t)\) and \(g_ 2(t_ 1,t_ 2)\) are the first two cumulant functions, and \(\pi_{1| 1}\) is the probability distribution. The algorithm is: first obtaining the Poisson stream of the base points with intensity \(f^ A_ 1(x)\), second for each event of the initial stream a value of the base point in accordance with the distribution \(\pi_{1| 1}.\) A similar procedure is used in the form of the Cox stream. An example for confirming the validity of the simulation algorithms is implemented.
- Generation of crosscorrelated random processes
- Fast poisson and binomial algorithms for correlationinduction**This research is partially supported by the Office of Naval Research contract N00014-7942-0832 through Purdue University$ef:
- Noninverse correlation induction: Guidelines for algorithm development
- Generating multivariate correlated samples
- scientific article; zbMATH DE number 3843050
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