A matching algorithm for generation of statistically dependent random variables with arbitrary marginals
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References listed on IDEAS
- 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.
- Robert T. Clemen & Terence Reilly, 1999. "Correlations and Copulas for Decision and Risk Analysis," Management Science, INFORMS, vol. 45(2), pages 208-224, February.
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- Đurica Marković & Jasna Plavšić & Nesa Ilich & Siniša Ilić, 2015. "Non-parametric Stochastic Generation of Streamflow Series at Multiple Locations," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 29(13), pages 4787-4801, October.
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KeywordsSimulation Regression Stochastic processes Statistical dependence Correlation;
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