학술논문
Random vectors with given arbitrary marginals and given correlation matrix.
Document Type
Journal
Author
Tiĭt, È. AMS Author Profile
Source
Subject
62 Statistics -- 62H Multivariate analysis
62H05Characterization and structure theory
62H05
Language
Russian
Abstract
This paper deals with the construction of a $k$-dimensional distribution $F$ given unequal marginal distribution functions $F_i(x_i)$ and an arbitrary correlation matrix $R$, $i=1,2,\cdots,k$. The author solves the problems of existence and uniqueness of the distribution $F$, as well as the problem of efficient construction of vectors having the distribution $F$ and the simulation of values of vectors with distribution $F$. Some examples are given for illustration.