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An Approximate Method for Sampling Correlated Random Variables from Partially-Specified Distributions

Citations

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Cited by:

  1. Soumyadip Ghosh & Shane G. Henderson, 2002. "Chessboard Distributions and Random Vectors with Specified Marginals and Covariance Matrix," Operations Research, INFORMS, vol. 50(5), pages 820-834, October.
  2. Werner, Christoph & Bedford, Tim & Cooke, Roger M. & Hanea, Anca M. & Morales-Nápoles, Oswaldo, 2017. "Expert judgement for dependence in probabilistic modelling: A systematic literature review and future research directions," European Journal of Operational Research, Elsevier, vol. 258(3), pages 801-819.
  3. I-Tung Yang, 2006. "Using Gaussian copula to simulate repetitive projects," Construction Management and Economics, Taylor & Francis Journals, vol. 24(9), pages 901-909.
  4. Hui, Yer Van & Gao, Jia & Leung, Lawrence & Wallace, Stein, 2014. "Airfreight forwarder’s shipment planning under uncertainty: A two-stage stochastic programming approach," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 66(C), pages 83-102.
  5. Soumyadip Ghosh & Henry Lam, 2019. "Robust Analysis in Stochastic Simulation: Computation and Performance Guarantees," Operations Research, INFORMS, vol. 67(1), pages 232-249, January.
  6. Vit Prochazka & Stein W. Wallace, 2020. "Scenario tree construction driven by heuristic solutions of the optimization problem," Computational Management Science, Springer, vol. 17(2), pages 277-307, June.
  7. Zhaoxia Guo & Stein W. Wallace & Michal Kaut, 2019. "Vehicle Routing with Space- and Time-Correlated Stochastic Travel Times: Evaluating the Objective Function," INFORMS Journal on Computing, INFORMS, vol. 31(4), pages 654-670, October.
  8. 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.
  9. Wu, Dexiang & Wu, Desheng Dash, 2020. "A decision support approach for two-stage multi-objective index tracking using improved lagrangian decomposition," Omega, Elsevier, vol. 91(C).
  10. Stanhope, Stephen, 2005. "Case studies in multivariate-to-anything transforms for partially specified random vector generation," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 68-79, August.
  11. Ilich, Nesa, 2009. "A matching algorithm for generation of statistically dependent random variables with arbitrary marginals," European Journal of Operational Research, Elsevier, vol. 192(2), pages 468-478, January.
  12. Nuño Martinez, Edgar & Cutululis, Nicolaos & Sørensen, Poul, 2018. "High dimensional dependence in power systems: A review," Renewable and Sustainable Energy Reviews, Elsevier, vol. 94(C), pages 197-213.
  13. Kim, Byung-Cheol, 2022. "Multi-factor dependence modelling with specified marginals and structured association in large-scale project risk assessment," European Journal of Operational Research, Elsevier, vol. 296(2), pages 679-695.
  14. Baron Law, 2021. "Correlation Estimation in Hybrid Systems," Papers 2111.06042, arXiv.org, revised Jul 2023.
  15. Sovan Mitra, 2013. "Scenario Generation For Operational Risk," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 20(3), pages 163-187, July.
  16. David Hudak & Mark Maxwell, 2007. "A macro approach to estimating correlated random variables in engineering production projects," Construction Management and Economics, Taylor & Francis Journals, vol. 25(8), pages 883-892.
  17. Athanassios N. Avramidis & Nabil Channouf & Pierre L'Ecuyer, 2009. "Efficient Correlation Matching for Fitting Discrete Multivariate Distributions with Arbitrary Marginals and Normal-Copula Dependence," INFORMS Journal on Computing, INFORMS, vol. 21(1), pages 88-106, February.
  18. David Corredor-Montenegro & Nicolás Cabrera & Raha Akhavan-Tabatabaei & Andrés L. Medaglia, 2021. "On the shortest $$\alpha$$ α -reliable path problem," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(1), pages 287-318, April.
  19. Ponomareva, K. & Roman, D. & Date, P., 2015. "An algorithm for moment-matching scenario generation with application to financial portfolio optimisation," European Journal of Operational Research, Elsevier, vol. 240(3), pages 678-687.
  20. Tianyang Wang & James S. Dyer & Warren J. Hahn, 2017. "Sensitivity analysis of decision making under dependent uncertainties using copulas," EURO Journal on Decision Processes, Springer;EURO - The Association of European Operational Research Societies, vol. 5(1), pages 117-139, November.
  21. Huifen Chen, 2001. "Initialization for NORTA: Generation of Random Vectors with Specified Marginals and Correlations," INFORMS Journal on Computing, INFORMS, vol. 13(4), pages 312-331, November.
  22. Arnab Chakraborty, 2006. "Generating multivariate correlated samples," Computational Statistics, Springer, vol. 21(1), pages 103-119, March.
  23. Arbenz, Philipp & Hummel, Christoph & Mainik, Georg, 2012. "Copula based hierarchical risk aggregation through sample reordering," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 122-133.
  24. Fleten, Stein-Erik & Hoyland, Kjetil & Wallace, Stein W., 2002. "The performance of stochastic dynamic and fixed mix portfolio models," European Journal of Operational Research, Elsevier, vol. 140(1), pages 37-49, July.
  25. Mitra, Sovan & Lim, Sungmook & Karathanasopoulos, Andreas, 2019. "Regression based scenario generation: Applications for performance management," Operations Research Perspectives, Elsevier, vol. 6(C).
  26. Pier Alda FERRARI & Alessandro BARBIERO, 2011. "Generating ordinal data," Departmental Working Papers 2011-38, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
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