Corpus ID: 3846629

Modeling and generating multi-variate-attribute random vectors using a new simulation method combined with NORTA algorithm

@inproceedings{Niavarani2013ModelingAG,
  title={Modeling and generating multi-variate-attribute random vectors using a new simulation method combined with NORTA algorithm},
  author={Niavarani and Ajr Smith},
  year={2013}
}
The NORmal-To-Anything (NORTA) algorithm requires a correlation matrix of multivariate normal variables to convert a multivariate normal vector to any other distribution. This paper presents a new simulation method that works in combination with the NORTA algorithm yet avoids having to solve some complicated equations which need to be solved to achieve this matrix. The performance of the proposed method is investigated in three examples and the results indicate that the proposed method works… Expand

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