This article is cited in 2 papers

Short Communications

On the “reproduction” method for simulation of random vectors and processes (randomization of correlation matrices

G. A. Mikhailov

Novosibirsk

Abstract: The paper deals with a special method of simulation of random vectors with specified identical one-dimensional marginal distributions and a specified positive correlation matrix. The main idea of the method is sampling of identical random variables for each group of a random subdivision of the set of components. A simple (but not always optimal) algorithm is introduced for the determination of suitable probabilities of different subdivision variants.
It is shown that the reproduction method is suitable for simulation of a stationary process with an absolutely monotone correlation function.

Received: 17.12.1973

 English version: Theory of Probability and its Applications, 1975, 19:4, 839–843

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