Correlation control in small sample Monte Carlo type simulations II: Analysis of estimation formulas, random correlation and perfect uncorrelatedness

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26110%2F12%3APU96313" target="_blank" >RIV/00216305:26110/12:PU96313 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Correlation control in small sample Monte Carlo type simulations II: Analysis of estimation formulas, random correlation and perfect uncorrelatedness

Original language description

This paper presents a number of theoretical and numerical results regarding correlation coefficients and two norms of correlation matrices in relation to correlation control in Monte Carlo type sampling and the designs of experiments. The paper studies estimation formulas for Pearson linear, Spearman and Kendall rank-order correlation coefficients and formulates the lower bounds on the performance of correlation control techniques such as the one presented in the companion paper Part I. In particular, probabilistic distributions of the two norms of correlation matrices defined in Part I are delivered for an arbitrary sample size and number of random variables in the case when the sampled values are ordered randomly. Next, an approximate number of designs with perfect uncorrelatedness is estimated based on the distribution of random correlation coefficients. It is shown that a large number of designs exist that perfectly match the unit correlation matrix.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

JM - Structural engineering

OECD FORD branch

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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

2012

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

PROBABILISTIC ENGINEERING MECHANICS

ISSN

0266-8920

e-ISSN

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Volume of the periodical

27

Issue of the periodical within the volume

1

Country of publishing house

GB - UNITED KINGDOM

Number of pages

16

Pages from-to

1-16

UT code for WoS article

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EID of the result in the Scopus database

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