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PC Translation Models for Random Vectors and Multivariate Extremes

Authors :
Mircea Grigoriu
Source :
SIAM Journal on Scientific Computing. 41:A1228-A1251
Publication Year :
2019
Publisher :
Society for Industrial & Applied Mathematics (SIAM), 2019.

Abstract

A novel class of models, referred to as polynomial chaos (PC) translation models, is developed for non-Gaussian vectors. The models match target marginal distributions exactly and dependence struct...

Subjects

Subjects :
Computational Mathematics
Multivariate statistics
Class (set theory)
Polynomial chaos
Applied Mathematics
Monte Carlo method
Applied mathematics
struct
Marginal distribution
Translation (geometry)
Spectral measure
Mathematics

Details

ISSN :
10957197 and 10648275
Volume :
41
Database :
OpenAIRE
Journal :
SIAM Journal on Scientific Computing
Accession number :
edsair.doi...........6057688415a388dec11467c8208cbdeb
Full Text :
https://doi.org/10.1137/18m118061x
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