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Patchwork Distributions

In: Advancing the Frontiers of Simulation

Author

Listed:
  • Soumyadip Ghosh

    (IBM T. J. Watson Research Center)

  • Shane G. Henderson

    (Cornell University)

Abstract

Patchwork distributions are a class of distributions for use in simulation that can be used to model finite-dimensional random vectors with given marginal distributions and dependence properties. They are an extension of the previously developed chessboard distributions. We show how patchwork distributions can be selected to match several user-specified properties of the joint distribution. In constructing a patchwork distribution, one must solve a linear program that is potentially large. We develop results that shed light on the size of the linear program that one must solve. These results suggest that patchwork distributions should only be used to model random vectors with low dimension, say less than or equal to 5.

Suggested Citation

  • Soumyadip Ghosh & Shane G. Henderson, 2009. "Patchwork Distributions," International Series in Operations Research & Management Science, in: Christos Alexopoulos & David Goldsman & James R. Wilson (ed.), Advancing the Frontiers of Simulation, pages 65-86, Springer.
    • Handle: RePEc:spr:isochp:978-1-4419-0817-9_4
    DOI: 10.1007/b110059_4
    as

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