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題 名 | The Generation of Correlated Random Variates Using the Geometric Transformation Method=可產生相關隨機變數的幾何轉換方法 |
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作 者 | 鄭純媛; | 書刊名 | 朝陽學報 |
卷 期 | 1 1996.06[民85.06] |
頁 次 | 頁171-179 |
分類號 | 440.11 |
關鍵詞 | 幾何轉換方法; 相關性; 類比; 力量; 具相關性的(0,1)均勻隨機變數; The geometric transformation method; Correlation; Analogy; Force; Correlated uniform(0,1) random variates; |
語 文 | 英文(English) |
中文摘要 | 在模擬應用上,當只有兩相關隨機變數之邊際分佈及衡量其相關性之值已知時, 若欲產生此種相關隨機變數,可運用本文所發表之幾何轉換方法來執行。幾何轉換方法的發 展是基於兩隨機變數間之相關程度與物理上兩點間之力量的類比聯想而來。首先,我們證明 此種類比所推導出之轉換公式的合理性,再建立一套可產生具有已知特性之相關隨機變數的 通用步驟。然後,討論使用這套步驟所可能面臨之限制。值得一提的是本文所提出的方法與 傳統的線性組合轉換方法有異曲同工之妙。最後,我們發展出一套步驟來產生具有已知相關 係數的( 0,1 )均勻隨機變數。 |
英文摘要 | An approach for generating dependent random variates with specified marginal distributions and measure of correlation is developed using the geometric transformation method which is based upon an analogy between correlation and force. We first examine the mathematical transformation implied by this analogy and attempt to construct a general algorithm for generating variates that have the desired properties. We than examine the limitations of this approach, noting some potentially surprising distributional consequences associated with linear combinations of random variables. We conclude with the development of an algorithm for generating correlated Uniform(0,1) random variates with (approximately) a specified product-moment correlation. |
本系統中英文摘要資訊取自各篇刊載內容。