283
Views
15
CrossRef citations to date
0
Altmetric
Original Articles

Generating correlated random vector involving discrete variables

Pages 1594-1605 | Received 25 Aug 2013, Accepted 19 Feb 2015, Published online: 08 Mar 2016

References

  • Avramidis, A.N. (2013). Constructing discrete unbounded distributions with Gaussian-copula dependence and given rank correlation. INFORMS J. Comput. 26(2):269–279.
  • Avramidis, A.N., Channouf, N., L’Ecuyer, P. (2009). Efficient correlation matching for fitting discrete multivariate distributions with arbitrary marginals and normal-copula dependence. INFORMS J. Comput. 21(1):88–106.
  • Cario, M.C., Nelson, B.L. (1997). Modeling and Generating Random Vectors with Arbitrary Marginal Distributions and Correlation Matrix. Department of Industrial Engineering and Management Sciences, Northwestern University.
  • Chen, H.F. (2001). Initialization for NORTA: generation of random vectors with specified marginals and correlations. INFORMS J. Comput. 13(4):312–331.
  • Der Kiureghian, A., Liu, P.-L. (1986). Structural reliability under incomplete probability information. J. Eng. Mech. 112(1):85–104.
  • Halton, J.H. (1960). On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals. Numerische Mathematik 2(1):84–90.
  • Jung, R.C., Winkelmann, R. (1993). Two aspects of labor mobility: a bivariate poisson regression approach. Empirical Econ. 18(3):543–556.
  • Kocis, L., Whiten, W.J. (1997). Computational investigations of low-discrepancy sequences. ACM Trans. Math. Software (TOMS) 23(2):266–294.
  • Lancaster, H.O. (1957). Some properties of the bivariate normal distribution considered in the form of a contingency table. Biometrika 44(1–2):289–292.
  • Lebrun, R., Dutfoy, A. (2009). An innovating analysis of the Nataf transformation from the copula viewpoint. Probab. Eng. Mech. 24(3):312–320.
  • Li, H.S., Lü, Z.Z., Yuan, X.K. (2008). Nataf transformation based point estimate method. Chin. Sci. Bull. 53(17):2586–2592.
  • Liu, P.L., Der Kiureghian, A. (1986). Multivariate distribution models with prescribed marginals and covariances. Probab. Eng. Mech. 1(2):105–112.
  • Madsen, L., Birkes, D. (2013). Simulating dependent discrete data. J. Stat. Comput. Simul. 83(4):677–691.
  • Niaki, S.T.A., Abbasi, B. (2008). Generating correlation matrices for normal random vectors in NORTA algorithm using artificial neural networks. J. Uncertain Syst. 2(3):192–201.
  • Nikoloulopoulos, A.K., Karlis, D. (2009). Modeling multivariate count data using copulas. Commun. Stat. - Simul. Comput. 39(1):172–187.
  • Shin, K., Pasupathy, R. (2010). An algorithm for fast generation of bivariate poisson random vectors. INFORMS J. Comput. 22(1):81–92.
  • Van Ophem, H. (1999). A general method to estimate correlated discrete random variables. Economet. Theory 15(2):228–237.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.