Detail publikačního výsledku

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

VOŘECHOVSKÝ, M.

Originální název

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

Anglický název

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

Druh

Stať ve sborníku v databázi WoS či Scopus

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)

Anglický 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

Klíčová slova v angličtině

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

Autoři

VOŘECHOVSKÝ, M.

Rok RIV

2013

Vydáno

02.05.2011

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"
}