Simulation Modeling and Analysis
Simulation Modeling and Analysis
Traffic Modeling of IP Networks Using the Batch Markovian Arrival Process
TOOLS '02 Proceedings of the 12th International Conference on Computer Performance Evaluation, Modelling Techniques and Tools
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Advanced input modeling: properties of the NORTA method in higher dimensions
Proceedings of the 34th conference on Winter simulation: exploring new frontiers
Autoregressive to anything: Time-series input processes for simulation
Operations Research Letters
Tools for dependent simulation input with copulas
Proceedings of the 2nd International Conference on Simulation Tools and Techniques
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Copulas are used in finance and insurance for modeling stochastic dependency. They comprehend the entire dependence structure, not only the correlations. Here they are estimated from measured samples of random vectors. The copula and the marginal distributions of the vector elements define a multivariate distribution of the sample which can be used to generate random vectors with this distribution. This can be applied as well to time series. A programmed algorithm is proposed. It is fast and allows for random vectors with high dimension, for example 100.