Результаты исследований: Научные публикации в периодических изданиях › статья › Рецензирование
An Approximate Iterative Algorithm for Modeling of Non-Gaussian Vectors with Given Marginal Distributions and Covariance Matrix. / Akenteva, M. S.; Kargapolova, N. A.; Ogorodnikov, V. A.
в: Numerical Analysis and Applications, Том 16, № 4, 12.2023, стр. 289-298.Результаты исследований: Научные публикации в периодических изданиях › статья › Рецензирование
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TY - JOUR
T1 - An Approximate Iterative Algorithm for Modeling of Non-Gaussian Vectors with Given Marginal Distributions and Covariance Matrix
AU - Akenteva, M. S.
AU - Kargapolova, N. A.
AU - Ogorodnikov, V. A.
N1 - The work was supported by the Russian Science Foundation (project no. 21-71-00007); https://rdcf.ru/project/21-71-00007/.
PY - 2023/12
Y1 - 2023/12
N2 - A new iterative method for modeling of non-Gaussian random vectors with given marginal distributions and a covariance matrix is proposed in this paper. The algorithm is compared with another iterative algorithm for modeling of non-Gaussian vectors, based on reordering of a sample of independent random variables with given marginal distributions. Our numerical studies show that both algorithms are equivalent in terms of the accuracy of reproduction of a given covariance matrix, but the offered algorithm turns out to be more efficient in terms of memory usage and, in many cases, is faster than the other one.
AB - A new iterative method for modeling of non-Gaussian random vectors with given marginal distributions and a covariance matrix is proposed in this paper. The algorithm is compared with another iterative algorithm for modeling of non-Gaussian vectors, based on reordering of a sample of independent random variables with given marginal distributions. Our numerical studies show that both algorithms are equivalent in terms of the accuracy of reproduction of a given covariance matrix, but the offered algorithm turns out to be more efficient in terms of memory usage and, in many cases, is faster than the other one.
KW - covariance matrix
KW - marginal distributions
KW - non-Gaussian stochastic processes
KW - stochastic modeling
UR - https://www.scopus.com/record/display.uri?eid=2-s2.0-85178950364&origin=inward&txGid=b5150e18d32a9672180d7eb98899fc64
UR - https://www.mendeley.com/catalogue/3d0f7ed8-4eab-353d-bc9f-4e0c7fb86dc9/
U2 - 10.1134/S1995423923040018
DO - 10.1134/S1995423923040018
M3 - Article
VL - 16
SP - 289
EP - 298
JO - Numerical Analysis and Applications
JF - Numerical Analysis and Applications
SN - 1995-4239
IS - 4
ER -
ID: 59388505