Modelling correlated random variables

Sobol I.M. and Myshetskaya E.E.

Monte Carlo Methods and Applications, 2003, vol. 9, issue 1, 67-76

Abstract: A sampling problem with incomplete data is considered: modelling of a random vector when only marginal distributions of its components and their correlation coefficients are known. Simplest modelling algorithms for such problems include repeated use of random values, and the realized joint distributions are singular. An alternative method without singularities is proposed.

Keywords: Monte Carlo; quasi-Monte Carlo; correlation (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1515/156939603322587470

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