How to transform correlated random variables into uncorrelated ones.
A. K. GuptaTamás F. MóriGábor J. SzékelyPublished in: Appl. Math. Lett. (2000)
Keyphrases
- random variables
- identically distributed
- independent and identically distributed
- graphical models
- probability distribution
- highly correlated
- statistically independent
- stochastic optimization problems
- bayesian networks
- conditional independence
- normal distribution
- joint distribution
- stochastic processes
- latent variables
- conditional probabilities
- distribution function
- additive noise
- random vectors
- failure rate
- marginal distributions
- continuous variables
- conditional distribution
- conditional distributions
- directed acyclic graph
- probabilistic graphical models
- probability density
- markov property
- supply chain
- lead time