A new moment matching algorithm for sampling from partially specified symmetric distributions

Authors:
P. Date;R. Mamon;L. Jalen
Affiliations:
Center for the Analysis of Risk and Optimization Modelling Applications, Department of Mathematical Sciences, Brunel University, United Kingdom;Department of Statistical and Actuarial Sciences, University of Western Ontario, Canada;Center for the Analysis of Risk and Optimization Modelling Applications, Department of Mathematical Sciences, Brunel University, United Kingdom
Venue:
Operations Research Letters
Year:
2008

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Abstract

A new algorithm is proposed for generating scenarios from a partially specified symmetric multivariate distribution. The algorithm generates samples which match the first two moments exactly, and match the marginal fourth moments approximately, using a semidefinite programming procedure. The performance of the algorithm is illustrated by a numerical example.