Generation of a Multivariate Distribution for Specified Univariate Marginals and Covariance Structure.

Abstract

This paper addresses the problem of determining and generating outcomes for a joint multivariate distribution having specified arbitrary marginal distributions and correlation structure. in addition, a new technique is developed which generates outcome for essentially any given multivariate random variable from a more conveniently realizable random variable. This generalizes in a natural way the well known univariate transformation of probability sampling technique. (Author)

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Document Details

Document Type
Technical Report
Publication Date
May 28, 1981
Accession Number
ADA099578

Entities

People

  • I. R. Goodman

Organizations

  • United States Naval Research Laboratory

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Covariance
  • Data Science
  • Demographic Cohorts
  • Distribution Functions
  • Gaussian Distributions
  • Inequalities
  • Information Science
  • Military Research
  • Probability
  • Probability Density Functions
  • Probability Distribution Functions
  • Probability Distributions
  • Random Variables
  • Space Systems
  • Standards
  • Stochastic Processes

Fields of Study

  • Mathematics

Readers

  • Statistical inference.