Generating correlated random vector by polynomial normal transformation
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.
Cite
@article{arxiv.1508.06433,
title = {Generating correlated random vector by polynomial normal transformation},
author = {Qing Xiao},
journal= {arXiv preprint arXiv:1508.06433},
year = {2015}
}