Generation of a Multivariate Distribution for Specified Univariate Marginals and Covariance Structure.
NAVAL RESEARCH LAB WASHINGTON DC
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This paper addresses the problem of determining and generating outcomes for a joint multivariate distribution having specified arbitrary marginal distributions and correlation structure. in addition, a new technique is developed which generates outcome for essentially any given multivariate random variable from a more conveniently realizable random variable. This generalizes in a natural way the well known univariate transformation of probability sampling technique. Author
- Statistics and Probability