Correlation Control in Monte Carlo Type Sampling: Theoretical Analysis and Performance Bounds
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26110%2F11%3APU96556" target="_blank" >RIV/00216305:26110/11:PU96556 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—
Alternative languages
Result language
angličtina
Original language name
Correlation Control in Monte Carlo Type Sampling: Theoretical Analysis and Performance Bounds
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 marginals and correlation structure of a random vector for various sample sizes. 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)
Czech name
—
Czech description
—
Classification
Type
D - Article in proceedings
CEP classification
JM - Structural engineering
OECD FORD branch
—
Result continuities
Project
<a href="/en/project/KJB201720902" target="_blank" >KJB201720902: Development of numerical methods for analyses of stochastic computational mechanics problems</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
1st International Symposium on Uncertainty Modelling in Engineering, held in Prague
ISBN
978-80-01-04805-4
ISSN
—
e-ISSN
—
Number of pages
4
Pages from-to
67-70
Publisher name
Neuveden
Place of publication
Praha
Event location
Praha
Event date
May 2, 2011
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
—