GENERATION OF CORRELATED SAMPLES

by Kollu Ranga Rao and Naveen Kumar Boiroju.

Abstract: In this paper, an algorithm for generating correlated random variables with known marginal distributions and a specified correlation is presented. This algorithm, in which the specification of the joint multivariate distribution is not necessary, is widely applicable and allows the generation of positively correlated random variables from any pair of marginal continuous distributions. Some theorems and algorithms to generate bivariate and trivariate correlated samples presented in this paper.

Key Words: Correlation, Simulation, Marginal distribution, Joint distribution

Authors:
Kollu Ranga Rao, rrkollu@yahoo.com
Naveen Kumar Boiroju, nanibyrozu@gmail.com

Editor: Fokoue, Ernest, epfeqa@rit.edu

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