Sampling from a Bivariate Distribution with Known Marginals (1996)

Abstract:

We propose a general algorithm to sample from a bivariate distribution with given marginals and arbitrary dependence structure. We mainly focus on positive random vari­ables with a highly negative coefficient of correlation. 

Keywords:

order statistics, exponential distribution, minimum correlation, resanipling. 

Author: 
Vincent Granville
Publication Date: 
Thursday, August 1, 1996
File Attachment: 
PDF icon tr47.pdf
Report Number: 
47