Open Access Open Access  Restricted Access Subscription or Fee Access

On the Use of Columnwise-Pairwise Algorithm for Generating Correlated Multivariate Random Samples

Anamai Na-udom, Jaratsri Rungrattanaubol

Abstract



Simulation technique has gained a wide attention in many fields as a crucial method to study the relationship between the input variables and output response in complex systems. The generation of random samples from multivariate distribution is a common requirement in the context of simulation. This paper presents an application of Columnwise-pairwise algorithm (CP) for generating correlated multivariate random samples when the marginal distribution and correlation matrix are pre-specified. The proposed method is compared with the existing method namely Simulated annealing algorithm (SA). The results show that CP performs well and is comparable to SA while CP requires less parameter and the structure is less complex than SA. Hence the proposed method is recommended for use in any Monte Carlo methods such as risk analysis models and computer simulated experiments, etc.

Keywords


Columnwise-pairwise algorithm, Simulated annealing algorithm, Correlated multivariate random samples, Monte carlo simulation.

Full Text:

PDF


Disclaimer/Regarding indexing issue:

We have provided the online access of all issues and papers to the indexing agencies (as given on journal web site). It’s depend on indexing agencies when, how and what manner they can index or not. Hence, we like to inform that on the basis of earlier indexing, we can’t predict the today or future indexing policy of third party (i.e. indexing agencies) as they have right to discontinue any journal at any time without prior information to the journal. So, please neither sends any question nor expects any answer from us on the behalf of third party i.e. indexing agencies.Hence, we will not issue any certificate or letter for indexing issue. Our role is just to provide the online access to them. So we do properly this and one can visit indexing agencies website to get the authentic information. Also: DOI is paid service which provided by a third party. We never mentioned that we go for this for our any journal. However, journal have no objection if author go directly for this paid DOI service.