On construction of random variables with prescribed marginal distributions and correlation coefficients

Details On construction of random variables with prescribed marginal distributions and correlation coefficients On construction of random variables with prescribed marginal distributions and correlation coefficients

2010-10-29

arxiv.org/abs/1010.6118v1

Mathematics

Probability

15 pages, 3 figures

Scientific paper

In this paper we propose a generalized extension of the trivariate reduction
method for exact generation of variables with prespecified marginal
distributions and the correlation coefficient (positive or negative). We
compare the new algorithm to several common approaches, with a particular
emphasis on the copula-based ones, and discuss its benefits and limitations.

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