An order-statistics-based method for constructing multivariate distributions with fixed marginals
نویسندگان
چکیده
منابع مشابه
Simulation of multivariate distributions with fixed marginals and correlations
Consider the problem of drawing random variates (X1, . . . , Xn) from a distribution where the marginal of each Xi is specified, as well as the correlation between every pair Xi and Xj . For given marginals, the Fréchet-Hoeffding bounds put a lower and upper bound on the correlation between Xi and Xj . Hence any achievable correlation can be uniquely represented by a convexity parameter λij ∈ [...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2008
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2008.02.019