C-NORTA: A Rejection Procedure for Sampling from the Tail of Bivariate NORTA Distributions
نویسندگان
چکیده
منابع مشابه
C-NORTA: A Rejection Procedure for Sampling from the Tail of Bivariate NORTA Distributions
W propose C-NORTA, an exact algorithm to generate random variates from the tail of a bivariate NORTA random vector. (A NORTA random vector is specified by a pair of marginals and a rank or product– moment correlation, and it is sampled using the popular NORmal-To-Anything procedure.) We first demonstrate that a rejection-based adaptation of NORTA on such constrained random vector generation pro...
متن کاملC-NORTA: A Rejection Procedure for Sampling from the Tail of Bivariate Distributions
We propose C-NORTA, an exact algorithm to generate random variates from the tail of a bivariate NORTA random vector. (A NORTA random vector is specified by a pair of marginals and a rank or product-moment correlation, and is sampled using the popular NORmal-To-Anything procedure.) At the core of this method lies the question of sampling from a piecewise-linear connected region in the tail of a ...
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The NORTA method for multivariate generation is a fast general purpose method for generating samples of a random vector with given marginal distributions and given productmoment or rank correlation matrix. However, this method has been shown to fail to work for some feasible correlation matrices. (A matrix is feasible if there exists a random vector with the given marginal distributions and the...
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A rejection algorithm { called transformed density rejection { that uses a new method for constructing simple hat functions for an unimodal, bounded density f is introduced. It is based on the idea to transform f with a suitable transformation T such that T (f(x)) is concave. f is then called T-concave and tangents of T (f(x)) in the mode and in a point on the left and right side are used to co...
متن کاملCorrigendum: Behaviour of the NORTA Method for Correlated Random Vector Generation as the Dimension Increases
As part of their analysis of the NORTA method, Ghosh and Henderson [2003] developed an algorithm for generating a random correlation matrix. The derivation of the algorithm is correct up until the discussion of the parameters of the beta distribution on page 288. The parameters α1 and α2 were reported to take the values (k − 1)/2 and (d − k)/2 respectively. The value of α2 is incorrect, and sho...
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ژورنال
عنوان ژورنال: INFORMS Journal on Computing
سال: 2012
ISSN: 1091-9856,1526-5528
DOI: 10.1287/ijoc.1100.0447