We develop a computational approach for establishing whether a given covariance matrix is feasible for a given set of marginals.
Jul 6, 2001 · There is a growing need for the ability to specify and generate correlated random variables as primitive inputs to stochastic models.
A covariance matrix is said to be feasible for a given set of marginal distributions if a random vector exists with these characteristics. A computational ...
There is a growing need for the ability to specify and generate correlated random variables as primitive inputs to stochastic models.
Chessboard distributions can match a given set of marginals, a given covariance structure, and various other constraints on the distribution of a random vector.
Patchwork distributions are a class of distributions for use in simulation that can be used to model finite-dimensional random vectors with given marginal ...
Chessboard distributions can match a given set of marginals, a given covariance structure, and various other constraints on the distribution of a random vector.
Chessboard distributions and random vectors with specified marginals and covariance matrix. Operations Research,. 50(5):820–834. Ghosh, S. and Henderson ...
People also ask
How do you find the covariance matrix of a random vector?
What is the covariance matrix of a random matrix?
What is the covariance matrix of the sum of random vectors?
How to find the covariance matrix of a vector?
This paper offers a new approach for generating stochastic variables with desired correlation structure and arbitrary marginal distributions aimed at preserving ...
Chessboard Distributions and Random Vectors with Specified Marginals and Covariance Matrix · Soumyadip GhoshS. Henderson. Mathematics. Operational Research.