Correlation in probabilistic simulation

Result code in IS VaVaI
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Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Correlation in probabilistic simulation
Original language description
The objective of this paper is twofold. Firstly to deliver theoretical bounds for performance of simulation techniques of Monte Carlo type measuring the ability to fulfill prescribed correlation matrices. Secondly, we study the performance in correlationcontrol of recently proposed procedure for sampling from a multivariate population within the framework of Monte Carlo simulations (especially Latin Hypercube Sampling). In particular, we study the ability of the method to fulfill the prescribed correlation structure of a random vector for various sample sizes and number of marginal variables. Two norms of correlation error are defined, one very conservative and related to extreme errors, other related to averages of correlation errors. We study behavior of Pearson correlation coefficient for Gaussian vectors and Spearman rank order coefficient (as a distribution-free correlation measure). Theoretical results on performance bounds for both correlation types in the case of desired uncor
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Applications of Statistics and Probability in Civil Engineering
ISBN
978-0-415-66986-3
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
2931-2939
Publisher name
Neuveden
Place of publication
Zurich, Švýcarsko
Event location
Zurich
Event date
Aug 1, 2011
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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