An algorithm to generate samples of multi-variate distributions with correlated marginals

Computational Statistics and Data Analysis

Volumn 27, Issue 3, 1998, Pages 271-289

  Van Der Geest, P A G ^a  

^a SHELL GLOBAL SOLUTIONS INTERNATIONAL B V   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

CALCULATIONS; COMPUTER SIMULATION; CORRELATION METHODS; MONTE CARLO METHODS; POLYNOMIALS; PROBLEM SOLVING;

CHEBYSHEV-HERMITE POLYNOMIAL; COMPUTATIONAL STATISTICS; CORRELATED RANDOM SAMPLES; MULTIVARIATE DISTRIBUTION;

ALGORITHMS;

ALGORITHM; CORRELATION; MONTE CARLO SIMULATION;

EID: 0032075839     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-9473(98)00005-X     Document Type: Article

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