000003998 001__ 3998
000003998 005__ 20141118153339.0
000003998 04107 $$acze
000003998 046__ $$k2009-05-11
000003998 100__ $$aVořechovský, M.
000003998 24500 $$aOn performance of correlation control methods in simulation of random vectors defined by marginals and covariances

000003998 24630 $$n15.$$pEngineering Mechanics 2009
000003998 260__ $$bInstitute of Theoretical and Applied Mechanics AS CR, v.v.i., Prague
000003998 506__ $$arestricted
000003998 520__ $$2eng$$aThe objective of this paper is a study of performance of 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 correlation structure of a random vector for various sample sizes and number of marginal variables. 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. Theoretical results on performance bounds for both correlation types in the case of desired uncorrelatedness are compared to performance of the proposed technique and also to other previously developed techniques for correlation control, namely the Cholesky orthogonalization as applied by Iman and Conover (1980,1982); and Gram-Schmidt orthogonalization used by Owen (1994).

000003998 540__ $$aText je chráněný podle autorského zákona č. 121/2000 Sb.
000003998 653__ $$a

000003998 7112_ $$aEngineering Mechanics 2009$$cSvratka (CZ)$$d2009-05-11 / 2009-05-14$$gEM2009
000003998 720__ $$aVořechovský, M.
000003998 8560_ $$ffischerc@itam.cas.cz
000003998 8564_ $$s580523$$uhttps://invenio.itam.cas.cz/record/3998/files/Vorechovsky-140-PT.pdf$$y
             Original version of the author's contribution as presented on CD, 140.
            
000003998 962__ $$r3852
000003998 980__ $$aPAPER