Publication detail

Correlation Control in Monte Carlo Type Sampling: Theoretical Analysis and Performance Bounds

VOŘECHOVSKÝ, M.

Original Title

Correlation Control in Monte Carlo Type Sampling: Theoretical Analysis and Performance Bounds

Type

conference paper

Language

English

Original Abstract

The objective of this paper is twofold. Firstly to deliver theoretical bounds for performance of simulation techniques of Monte Carlo type measuring the ability to fulfill prescribed correlation matrices. Secondly, we study the performance in correlation control of recently proposed procedure for sampling from a multivariate population within the framework of Monte Carlo simulations (especially Latin Hypercube Sampling). In particular, we study the ability of the method to fulfill the prescribed marginals and correlation structure of a random vector for various sample sizes. Two norms of correlation error are defined, one very conservative and related to extreme errors, other related to averages of correlation errors. We study behavior of Pearson correlation coefficient for Gaussian vectors and Spearman rank order coefficient (as a distribution-free correlation measure)

Keywords

Correlation Control in Monte Carlo Type , theoretical Analysis and Performance Bounds

Authors

VOŘECHOVSKÝ, M.

RIV year

2011

Released

2. 5. 2011

Location

Praha

ISBN

978-80-01-04805-4

Book

1st International Symposium on Uncertainty Modelling in Engineering, held in Prague

Pages from

67

Pages to

70

Pages count

4

BibTex

@inproceedings{BUT88867,
  author="Miroslav {Vořechovský}",
  title="Correlation Control in Monte Carlo Type Sampling: Theoretical Analysis and Performance Bounds",
  booktitle="1st International Symposium on Uncertainty Modelling in Engineering, held in Prague",
  year="2011",
  pages="67--70",
  address="Praha",
  isbn="978-80-01-04805-4"
}