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Generation of Correlated Random Variables

One of the emerging areas of research of interest to numerical studies that involve simulation is the ability to generate random variables with various statistical distributions and with a desired correlation structure.  The most commonly used method to achieve this is based on the algorithm proposed by Iman and Conover (1982), which requires desired correlation structure to be specified as the Spearman rank order correlation matrix.  A new method has been proposed and tested.  The new method has a number of fine-tuning parameters that can help the modeler achieve the desired accuracy.  Publication detailing this work will eventually appear in the European Journal of Operational Research.

Reference: Iman, R. and W. Conover. 1982. A Distribution Free Approach to Inducing a Rank Correlation among Input Variables.  Communications in Statistics – Simulation and Computation, 11 (3) p. 311-334.