A characterization of power method transformations through the method of percentiles

ABSTRACT

This article derives closed-form solutions for fifth-ordered power method polynomial transformations based on the Method of Percentiles (MOP). A proposed MOP univariate procedure is compared with the Method of Moments (MOM) in the context of distribution fitting and estimating the shape functions. The MOP is also extended from univariate to multivariate data generation. The MOP procedure has an advantage because it does not require numerical integration to compute intermediate correlations and can be applied to distributions, where conventional moments do not exist. Simulation results demonstrate that the proposed MOP procedure is superior in terms of estimation, bias, and error.

Keywords:

• Intermediate correlation
• Monte Carlo
• Power method
• Percentile
• Multivariate
• Simulation

MATHEMATICS SUBJECT CLASSIFICATION:

• Primary 65C60
• Secondary 65C05