Generating correlated random vector by polynomial normal transformation

Qing Xiao

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arXiv · 1508.06433

Generating correlated random vector by polynomial normal transformation

Qing Xiao

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Abstract

This paper develops a polynomial normal transformation model, whereby various non-normal probability distributions can be simulated by the standard normal distribution. Two methods are presented to determine the coefficients of polynomial model: (1) probability weighted moment (PWM) matching (2) percentile matching. Compared to the existing raw moment or L-moment matching, the proposed methods are more computationally convenient, and can be used to estimate the coefficients of polynomial model with a higher degree. Furthermore, for two correlated random variables, a polynomial equation is derived to estimate the equivalent correlation coefficient in standard normal space, and random vector with non-normal marginal distributions and prescribed correlation matrix can be generated. Finally, numerical examples are worked to demonstrate the proposed method.

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Qing Xiao. 2015-08-26. Generating correlated random vector by polynomial normal transformation. https://arxiv.org/abs/1508.06433

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