Accession Number:

ADA099578

Title:

Generation of a Multivariate Distribution for Specified Univariate Marginals and Covariance Structure.

Descriptive Note:

Final rept.,

Corporate Author:

NAVAL RESEARCH LAB WASHINGTON DC

Personal Author(s):

Report Date:

1981-05-28

Pagination or Media Count:

28.0

Abstract:

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

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE