Using the sum-of-uniforms method to generate correlated random variates with certain marginal distribution

Using the sum-of-uniforms method to generate correlated random variates with certain marginal distribution

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Article ID: iaor20062963
Country: Netherlands
Volume: 167
Issue: 1
Start Page Number: 226
End Page Number: 242
Publication Date: Nov 2005
Journal: European Journal of Operational Research
Authors:
Keywords: simulation: applications
Abstract:

This paper extends the sum-of-uniforms method to generate correlated random variables with certain marginal distributions. We first use the transformation method to derive the joint probability density function of the correlated uniform random variables. We also demonstrate that the sum-of-uniforms method can be extended to generate correlated random variables with certain marginal distributions including uniform, exponential, Erlang, Bernoulli, binomial, geometric, and negative binomial. Finally, this paper presents the exact correlation coefficients of such correlated random variables.

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