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
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