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Simulation of dependent Gaussian random variables based on correlation matrix decomposition and Johnson transformation
Journal: Problems of Information Technologies (Vol.1, No. 14)Publication Date: 2013-12-12
Authors : S.B.Prykhodko;
Page : 75-77
Keywords : simulation; Gaussian random variable; Johnson transformation.;
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Abstract
The article is devoted to improvement of method for simulation of dependent Gaussian random variables based on correlation matrix decomposition through the use of normalizing Johnson transformation from SB family, which, unlike existing methods, to generate a Gaussian random variable value requires only one value of a uniform random variable.
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Last modified: 2014-10-08 21:09:43