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Teoriya Veroyatnostei i ee Primeneniya, 1974, Volume 19, Issue 4, Pages 873–878 (Mi tvp3993)  
This article is cited in 2 scientific papers (total in 2 papers)

Short Communications

On the “reproduction” method for simulation of random vectors and processes (randomization of correlation matrices

G. A. Mikhailov

Novosibirsk
Full-text PDF (999 kB) Citations (2)
Abstract: The paper deals with a special method of simulation of random vectors with specified identical one-dimensional marginal distributions and a specified positive correlation matrix. The main idea of the method is sampling of identical random variables for each group of a random subdivision of the set of components. A simple (but not always optimal) algorithm is introduced for the determination of suitable probabilities of different subdivision variants.
It is shown that the reproduction method is suitable for simulation of a stationary process with an absolutely monotone correlation function.
Received: 17.12.1973
English version:
Theory of Probability and its Applications, 1975, Volume 19, Issue 4, Pages 839–843
DOI: https://doi.org/10.1137/1119096
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: G. A. Mikhailov, “On the “reproduction” method for simulation of random vectors and processes (randomization of correlation matrices”, Teor. Veroyatnost. i Primenen., 19:4 (1974), 873–878; Theory Probab. Appl., 19:4 (1975), 839–843
Citation in format AMSBIB
\Bibitem{Mik74}
\by G.~A.~Mikhailov
\paper On the ``reproduction'' method for simulation of random vectors and processes (randomization of correlation matrices
\jour Teor. Veroyatnost. i Primenen.
\yr 1974
\vol 19
\issue 4
\pages 873--878
\mathnet{http://mi.mathnet.ru/tvp3993}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=388723}
\zmath{https://zbmath.org/?q=an:0313.65002}
\transl
\jour Theory Probab. Appl.
\yr 1975
\vol 19
\issue 4
\pages 839--843
\crossref{https://doi.org/10.1137/1119096}
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  • https://www.mathnet.ru/eng/tvp/v19/i4/p873
    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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