Title :
Generating correlated random variates based on an analogy between correlation and force
Author :
Mykytka, Edward F. ; Cheng, Chun-Yuan
Author_Institution :
Air Force Inst. of Technol., Wright-Patterson AFB, OH, USA
Abstract :
An approach for generating dependent random variates with specified marginal distributions and measure of correlation is developed based upon an analogy between correlation and force. We first examine the mathematical transformation implied by this analogy and attempt to construct a general algorithm for generating variates that have the desired properties. We then examine the limitations of this approach, noting some potentially surprising distributional consequences associated with linear combinations of random variables. We conclude with the development of an algorithm for generating correlated Uniform (0,1) random variates with (approximately) a specified product-moment correlation.
Keywords :
correlation methods; digital simulation; statistical analysis; correlated random variates; correlation; distributional consequences; force; marginal distributions; product-moment correlation; variates; Chaos; Computer simulation; Concurrent computing; Context modeling; Design methodology; Distributed computing; Force measurement; Measurement standards; Particle measurements; Random variables;
Conference_Titel :
Simulation Conference Proceedings, 1994. Winter
Print_ISBN :
0-7803-2109-X
DOI :
10.1109/WSC.1994.717539