A General Mixture-Truncation Method for Generating Bivariate Random Variables from Univariate Generators

Abstract

This thesis deals with the generation of bivariate random variables with identical marginal distributions and specified correlation coefficients. Many schemes have been put forward for different cases; they almost always involve computing the inverse probability distribution of the marginal distributions or exploiting special properties of the random variables in question. A simple mixture-truncation method is put forward here to generate bivariate distributions with any marginal distribution from univariate generators.

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Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1980
Accession Number
ADA084474

Entities

People

  • Myong H. Shin

Organizations

  • Naval Postgraduate School

Tags

Communities of Interest

  • C4I

DTIC Thesaurus Topics

  • Air Force
  • Algorithms
  • California
  • Coefficients
  • Computations
  • Demographic Cohorts
  • Distribution Functions
  • Estimators
  • Operations Research
  • Plastic Explosives
  • Probability
  • Probability Density Functions
  • Probability Distributions
  • Random Variables
  • Simulations
  • Statistics
  • Theses

Fields of Study

  • Mathematics

Readers

  • Graph Algorithms and Convex Optimization.
  • Regression Analysis.
  • Systems Analysis and Design