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VOŘECHOVSKÝ, M.
Originální název
Correlation Control in Monte Carlo Type Sampling: Theoretical Analysis and Performance Bounds
Typ
článek ve sborníku ve WoS nebo Scopus
Jazyk
angličtina
Originální abstrakt
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)
Klíčová slova
Correlation Control in Monte Carlo Type , theoretical Analysis and Performance Bounds
Autoři
Rok RIV
2011
Vydáno
2. 5. 2011
Místo
Praha
ISBN
978-80-01-04805-4
Kniha
1st International Symposium on Uncertainty Modelling in Engineering, held in Prague
Strany od
67
Strany do
70
Strany počet
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" }