An Approximate Method for Sampling Correlated Random Variables From Partially-Specified Distributions

Authors:
Philip M. Lurie;Matthew S. Goldberg
Affiliations:
-;-
Venue:
Management Science
Year:
1998

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Abstract

This paper presents an algorithm for generating correlated vectors of random numbers. The user need not fully specify the joint distribution function; instead, the user "partially specifies" only the marginal distributions and the correlation matrix. The algorithm may be applied to any set of continuous, strictly increasing distribution functions; the marginal distributions need not all be of the same functional form. The correlation matrix is first checked for mathematical consistency (positive semi and adjusted if necessary. Then the correlated random vectors are generated using a combination of Cholesky decomposition and Gauss-Newton iteration. Applications are made to cost analysis, where correlations are often present between cost elements in a work breakdown structure.