On performance of correlation control methods in simulation of random vectors defined by marginals and covariances

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26110%2F09%3APU86036" target="_blank" >RIV/00216305:26110/09:PU86036 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

On performance of correlation control methods in simulation of random vectors defined by marginals and covariances

Popis výsledku v původním jazyce

The objective of this paper is a study of performance of correlation control 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. Theoretical results on performance bounds for both correlation types in the case of desired uncorrelatedness are compared to performance of the proposed technique and also to other previously developed techniques for correlation control, namely the Cholesky orthogonalization as applied by Iman and Conover (1980,1982); and Gram

Název v anglickém jazyce

On performance of correlation control methods in simulation of random vectors defined by marginals and covariances

Popis výsledku anglicky

The objective of this paper is a study of performance of correlation control 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. Theoretical results on performance bounds for both correlation types in the case of desired uncorrelatedness are compared to performance of the proposed technique and also to other previously developed techniques for correlation control, namely the Cholesky orthogonalization as applied by Iman and Conover (1980,1982); and Gram

Druh

D - Stať ve sborníku

CEP obor

JM - Inženýrské stavitelství

OECD FORD obor

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Projekt

<a href="/cs/project/KJB201720902" target="_blank" >KJB201720902: Rozvoj numerických metod analýzy problémů stochastické výpočtové mechaniky</a><br>

Návaznosti

Z - Vyzkumny zamer (s odkazem do CEZ)

Rok uplatnění

2009

Kód důvěrnosti údajů

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

Název statě ve sborníku

Engineering mechanics 2009

ISBN

978-80-86246-35-2

ISSN

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e-ISSN

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Počet stran výsledku

14

Strana od-do

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Název nakladatele

Neuveden

Místo vydání

Svratka, Česká republika

Místo konání akce

Svratka

Datum konání akce

11. 5. 2009

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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