کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
9552932 1374158 2005 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Case studies in multivariate-to-anything transforms for partially specified random vector generation
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Case studies in multivariate-to-anything transforms for partially specified random vector generation
چکیده انگلیسی
This paper considers methods for sampling from random vectors characterized by marginal distributions and a correlation matrix, rather than a full joint distribution. The paper begins by describing the normal-to-anything (NORTA) transform for sampling from such random vectors. Limitations of the NORTA transformation motivate the development of a more general framework for partially specified random vector generation, and several alternatives to NORTA are described. NORTA and its alternatives are compared to a previous methodology for generating bivariate gamma random vectors; while each method considered generates random vectors with gamma marginals and appropriate correlations, both NORTA and its alternatives are shown to offer what could be considered to be more desirable joint distributional qualities. Finally, it is demonstrated that in the context of generating multivariate gamma random vectors some of the limitations of NORTA can in fact be overcome by considering its alternatives.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 37, Issue 1, 23 August 2005, Pages 68-79
نویسندگان
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