Simulation of random vectors with given moments

被引：1
|
作者：
Poirion, F [1 ]
机构：
[1] Off Natl Etud & Rech Aerosp, F-92322 Chatillon, France
来源：
PROBABILISTIC ENGINEERING MECHANICS | 2001年 / 16卷 / 02期
关键词：
random vectors; scalar random variables; vector simulation problem;
D O I：
10.1016/S0266-8920(00)00013-8
中图分类号：
TH [机械、仪表工业];
学科分类号：
0802 ;
摘要：
We extend in this article the simulation method of scalar random variables with given moments, which was developed initially by Devroye, to n-dimensional random vectors. Using the conditional distribution approach, we show that the vector simulation problem can be reduced to simulate scalar random variables with given moments, which are solutions of given linear systems. (C) 2001 Elsevier Science Ltd. All rights reserved.
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页码：115 / 120
页数：6
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