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Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness.
Michael Hanke
Spiridon I. Penev
Wolfgang K. Schief
Alex Weissensteiner
Published in:
Eur. J. Oper. Res. (2017)
Keyphrases
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covariance matrix
standard deviation
simulation model
mathematical model
simulation models
simulation environment
multivariate data
database
data sets
learning algorithm
support vector
estimation algorithm
singular values