Multivariate batch means and control variates
Management Science
Initialization for NORTA: Generation of Random Vectors with Specified Marginals and Correlations
INFORMS Journal on Computing
Feature Article: Optimization for simulation: Theory vs. Practice
INFORMS Journal on Computing
ANNIVERSARY ARTICLE: Stochastic Simulation Research in Management Science
Management Science
Modeling Daily Arrivals to a Telephone Call Center
Management Science
An Introduction to Copulas (Springer Series in Statistics)
An Introduction to Copulas (Springer Series in Statistics)
A method for fast generation of bivariate Poisson random vectors
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
Bounded degree closest k-tree power is NP-complete
COCOON'05 Proceedings of the 11th annual international conference on Computing and Combinatorics
Estimation for a marginal generalized single-index longitudinal model
Journal of Multivariate Analysis
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Generating multivariate Poisson random variables is essential in many applications, such as multi echelon supply chain systems, multi-item/multi-period pricing models, accident monitoring systems, etc. Current simulation methods suffer from limitations ranging from computational complexity to restrictions on the structure of the correlation matrix, and therefore are rarely used in management science. Instead, multivariate Poisson data are commonly approximated by either univariate Poisson or multivariate Normal data. However, these approximations are often not adequate in practice. In this paper, we propose a conceptually appealing correction for NORTA (NORmal To Anything) for generating multivariate Poisson data with a flexible correlation structure and rates. NORTA is based on simulating data from a multivariate Normal distribution and converting it into an arbitrary continuous distribution with a specific correlation matrix. We show that our method is both highly accurate and computationally efficient. We also show the managerial advantages of generating multivariate Poisson data over univariate Poisson or multivariate Normal data. Copyright © 2011 John Wiley & Sons, Ltd.