Generating multivariate mixture of normal distributions using a modified Cholesky decomposition

Proceedings - Winter Simulation Conference

Volumn , Issue , 2006, Pages 342-347

  Wang, Jin ^a   Liu, Chunlei ^a  

^a VALDOSTA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COVARIANCE MATRIX; ESTIMATION; IMAGE SEGMENTATION; MANAGEMENT SCIENCE; MATHEMATICAL MODELS; MIXTURES; MONTE CARLO METHODS; NORMAL DISTRIBUTION; NUMERICAL ANALYSIS; RANDOM PROCESSES; TURBULENT FLOW;

CHOLESKY DECOMPOSITION; FAT TAILS; GENERAL (CO); MARKET VARIABLES; MONTE CARLO (MC); POSITIVE DEFINITE;

MATRIX ALGEBRA;

EID: 46149088514     PISSN: 08917736     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/WSC.2006.323100     Document Type: Conference Paper

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