A heuristic approach for the generation of multivariate random samples with specified marginal distributions and correlation matrix.
Dimos C. CharmpisPanayiota L. PanteliPublished in: Comput. Stat. (2004)
Keyphrases
- correlation matrix
- marginal distributions
- random samples
- probability distribution
- joint distribution
- random sampling
- covariance matrix
- sample size
- random variables
- uniform distribution
- standard deviation
- random fields
- singular value decomposition
- gaussian distribution
- optimal solution
- wavelet coefficients
- linear combination
- multiresolution
- random projections
- random sample
- maximum likelihood
- graphical models
- probabilistic model