<p>This research concerns the NORTA (NORmal To Anything) methodfor constructing a multivariate random vector having prespecifiedmarginal distributions and prespecified correlations by applying anappropriate transformation of a standard normal random vector; and themain objective of this thesis is to develop an algorithm forestimating the normal correlations that are required to yield thedesired correlations between the coordinates of the transformed randomvector. A stochastic root finding method was implemented toapproximate the Normal correlations of interest with a prespecifiedlevel of accuracy. Examples are shown of the experimentationperformed with bivariate distributions having various marginals.Results are also shown for a bivariate distribution with two Uniformdistributions as marginals, in which the functional relationshipbetween the Normal correlation and the prespecified correlation isknown exactly. The experimentation shows that this stochastic rootfinding algorithm is an excellent method for rapidly approximating therequired Normal correlations to a reasonable degree of accuracy.<P>
| Identifer | oai:union.ndltd.org:NCSU/oai:NCSU:etd-20000726-171002 |
| Date | 28 July 2000 |
| Creators | Lassiter, Mary Elizabeth |
| Contributors | James R. Wilson, Stephen D. Roberts, Thomas Johnson |
| Publisher | NCSU |
| Source Sets | North Carolina State University |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://www.lib.ncsu.edu/theses/available/etd-20000726-171002 |
| Rights | unrestricted, I hereby certify that, if appropriate, I have obtained and attached hereto a written permission statement from the owner(s) of each third party copyrighted matter to be included in my thesis, dissertation, or project report, allowing distribution as specified below. I certify that the version I submitted is the same as that approved by my advisory committee. I hereby grant to NC State University or its agents the non-exclusive license to archive and make accessible, under the conditions specified below, my thesis, dissertation, or project report in whole or in part in all forms of media, now or hereafter known. I retain all other ownership rights to the copyright of the thesis, dissertation or project report. I also retain the right to use in future works (such as articles or books) all or part of this thesis, dissertation, or project report. |
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