• DocumentCode
    3384660
  • Title

    Generating correlated random variates based on an analogy between correlation and force

  • Author

    Mykytka, Edward F. ; Cheng, Chun-Yuan

  • Author_Institution
    Air Force Inst. of Technol., Wright-Patterson AFB, OH, USA
  • fYear
    1994
  • fDate
    11-14 Dec. 1994
  • Firstpage
    1413
  • Lastpage
    1416
  • Abstract
    An approach for generating dependent random variates with specified marginal distributions and measure of correlation is developed based upon an analogy between correlation and force. We first examine the mathematical transformation implied by this analogy and attempt to construct a general algorithm for generating variates that have the desired properties. We then examine the limitations of this approach, noting some potentially surprising distributional consequences associated with linear combinations of random variables. We conclude with the development of an algorithm for generating correlated Uniform (0,1) random variates with (approximately) a specified product-moment correlation.
  • Keywords
    correlation methods; digital simulation; statistical analysis; correlated random variates; correlation; distributional consequences; force; marginal distributions; product-moment correlation; variates; Chaos; Computer simulation; Concurrent computing; Context modeling; Design methodology; Distributed computing; Force measurement; Measurement standards; Particle measurements; Random variables;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Simulation Conference Proceedings, 1994. Winter
  • Print_ISBN
    0-7803-2109-X
  • Type

    conf

  • DOI
    10.1109/WSC.1994.717539
  • Filename
    717539