Patchwork Distributions

Soumyadip Ghosh () and Shane G. Henderson ()
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Soumyadip Ghosh: IBM T. J. Watson Research Center
Shane G. Henderson: Cornell University

A chapter in Advancing the Frontiers of Simulation, 2009, pp 65-86 from Springer

Abstract: Abstract Patchwork distributions are a class of distributions for use in simulation that can be used to model finite-dimensional random vectors with given marginal distributions and dependence properties. They are an extension of the previously developed chessboard distributions. We show how patchwork distributions can be selected to match several user-specified properties of the joint distribution. In constructing a patchwork distribution, one must solve a linear program that is potentially large. We develop results that shed light on the size of the linear program that one must solve. These results suggest that patchwork distributions should only be used to model random vectors with low dimension, say less than or equal to 5.

Keywords: Covariance Matrix; Random Vector; Joint Distribution; Convex Body; Covariance Matrice (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-1-4419-0817-9_4

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DOI: 10.1007/b110059_4

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