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Generating multivariate correlated samples

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  • Arnab Chakraborty

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  • Arnab Chakraborty, 2006. "Generating multivariate correlated samples," Computational Statistics, Springer, vol. 21(1), pages 103-119, March.
    • Handle: RePEc:spr:compst:v:21:y:2006:i:1:p:103-119
    DOI: 10.1007/s00180-006-0254-y
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    References listed on IDEAS

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    1. Philip M. Lurie & Matthew S. Goldberg, 1998. "An Approximate Method for Sampling Correlated Random Variables from Partially-Specified Distributions," Management Science, INFORMS, vol. 44(2), pages 203-218, February.
    2. Taylor, Malcolm S. & Thompson, James R., 1986. "A data based algorithm for the generation of random vectors," Computational Statistics & Data Analysis, Elsevier, vol. 4(2), pages 93-101, July.
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    Cited by:

    1. Jorge A. Sefair & Oscar Guaje & Andrés L. Medaglia, 2021. "A column-oriented optimization approach for the generation of correlated random vectors," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 43(3), pages 777-808, September.
    2. Bhavsar, S. & Pitchumani, R. & Ortega-Vazquez, M.A., 2021. "Machine learning enabled reduced-order scenario generation for stochastic analysis of solar power forecasts," Applied Energy, Elsevier, vol. 293(C).

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