Email this article CONSTRUCTION OF MULTIDIMENSIONAL DISCRETE DISTRIBUTIONS WITH PREASSIGNED CORRELATION STRUCTURE
- Authors: Novoselov A.A.1, Novosyolov AA1
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- Issue: Vol 11, No 5 (2010)
- Pages: 49-52
- Section: Articles
- URL: https://journals.eco-vector.com/2712-8970/article/view/504901
- ID: 504901
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Abstract
The paper is devoted to methods of construction of multidimensional discrete distributions with preassigned correlation structure and marginal distributions. The methods are based on mixture of the basic distributions and on decision of some optimization problems.
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About the authors
Arkadiy Arsen'evich Novoselov
Email: arcady@novosyolov.com <mailto:arcady@novosyolov.com>
A A Novosyolov
References
- Новоселов А. А. Воспроизведение дискретных распределений с заданной ковариационной структурой // Материалы II Межрегион. конф. / КГТЭИ. Красноярск, 2009. С. 229-234.
- Новоселов А. А. Дискретные распределения с заданной корреляцией, наименее отклоняющиеся от независимого // Тр. XIII Междунар. конф. по эвентологической математике и смежным вопросам / КГТЭИ ; СФУ. Красноярск, 2009. С. 126-131.
- Nelsen R. B. An Introduction To Copulas. Springer, 1998.
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