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I.M. Sobol, E.E. Myshetskaya

Modelling correlated random variables

Keywords: Monte Carlo, Quasi-Monte Carlo, correlation

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.

Monte Carlo Methods and Applications, Walter de Gruyter

Print ISSN: 0929-9629
Volume: 9, 01/2003
Pages: 67 - 76

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