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Generating correlated random vector involving discrete variables

Qing Xiao

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 4, 1594-1605

Abstract: For the issue of generating correlated random vector containing discrete variables, one major obstacle is to determine a suitable correlation coefficient ρz in normal space for a specified correlation coefficient ρx. This paper develops a method to solve this problem. First, the double integral evaluated for ρx is transformed into independent standard uniform space, then, a Quasi Monte Carlo method is introduced to calculate the double integral. For a given ρx, an appropriate ρz is determined by a false position method. Compared with existing methodologies, the proposed method is less efficient, but it is relatively easy to implement.

Date: 2017
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DOI: 10.1080/03610926.2015.1024860

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