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.
Acknowledgment
The author would like to thank an anonymous reviewer for the constructive comments, which help improve the manuscript significantly.