Automating Bivariate Transformations

作者：Yang Jeff X^*; Drew John H; Leemis Lawrence M

来源：INFORMS Journal on Computing, 2012, 24(1): 1-9.

DOI：10.1287/ijoc.1100.0416

• computational probability
• computer algebra systems
• continuous random variables
• transformation of random variables

We automate the bivariate change-of-variables technique for bivariate continuous random variables with arbitrary distributions. This extends the algorithm for univariate change-of-variables devised by Glen et al. [Glen, A. G., L. M. Leemis, J. H. Drew. 1997. A generalized univariate change-of-variable transformation technique. INFORMS J. Comput. 9(3) 288-295]. Our transformation procedure handles one-to-one, k-to-one, and piecewise k-to-one transformations for both independent and dependent random variables. We also present other procedures that operate on bivariate random variables (e.g., calculating correlation and marginal distributions).

• 出版日期2012