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

Authors :
Jung-Tai Chen
Source :
European Journal of Operational Research. 167:226-242
Publication Year :
2005
Publisher :
Elsevier BV, 2005.

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.

Details

ISSN :
03772217
Volume :
167
Database :
OpenAIRE
Journal :
European Journal of Operational Research
Accession number :
edsair.doi...........3e97c8b079cbed603d75f654f1af2043
Full Text :
https://doi.org/10.1016/j.ejor.2003.12.027