A Method for Simulating Correlated Random Variables From Partially Specified Distributions.

Abstract

Historical data from which to develop reliable estimates of the statistical relationships among cost elements are often scarce. Typically, information comes from many different subject-matter experts, who provide at most the moments (mean or median or mode, and possibly variance), distributional form (e.g., beta or triangular), bounds (lowest and highest possible cost), if applicable, and correlation matrix. Eliciting a fully specified multivariate distribution for the entire set of cost elements comprising a system is usually impossible. Therefore, an algorithm is needed for simulating correlated random variables from partially specified, non-normal distributions. This paper presents such an algorithm and explains how it was developed.

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Document Details

Document Type
Technical Report
Publication Date
Oct 01, 1994
Accession Number
ADA288820

Entities

People

  • Matthew S Goldberg
  • Philip M. Lurie

Organizations

  • Institute for Defense Analyses

Tags

Communities of Interest

  • Energy and Power Technologies
  • Materials and Manufacturing Processes
  • Space

DTIC Thesaurus Topics

  • Algorithms
  • Central Processing Units
  • Computations
  • Computers
  • Cost Analysis
  • Cost Estimates
  • Distribution Functions
  • Eigenvalues
  • Equations
  • Governments
  • Normal Distribution
  • Probability
  • Random Variables
  • Risk Analysis
  • Sampling
  • Simulations
  • Spreadsheet Software

Readers

  • Defense Acquisition Program Management
  • Statistical inference.