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摘要
In this paper we present an algorithm for exact generation of multivariate samples with prespecified marginal distributions and a given correlation matrix, based on a mixture of Frechet-Hoeffding bounds and marginal products. In the bivariate case, the algorithm can accommodate any among the theoretically possible correlation coefficients, and explicitly provides a connection between simulation and the minimum correlation attainable for different distribution families. We calculate the minimum correlations in several common distributional examples, including in some that have not been looked at before. As an illustration, we provide the details and results of implementing the algorithm for generating three-dimensional negatively and positively correlated Beta random variables, making it the only noncopula algorithm for correlated Beta simulation in dimensions greater than two. This work has potential for impact in a variety of fields where simulation of multivariate stochastic components is desired. DOI: 10.1103/PhysRevE.87.032114
- 出版日期2013-3-7
