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A distribution-free approach to inducing rank correlation among input variables
Abstract
A method for inducing a desired rank correlation matrix on a multivariate input random variable for use in a simulation study is introduced in this paper. This method is simple to use, is distribution free, preserves the exact form of the marginal distributions on the input variables, and may be used with any type of sampling scheme for which correlation of input variables is a meaningful concept. A Monte Carlo study provides an estimate of the bias and variability associated with the method. Input variables used in a model for study of geologic disposal of radioactive waste provide an example of the usefulness of this procedure. A textbook example shows how the output may be affected by the method presented in this paper.
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Cited by
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Marino, S., Hogue, I. B., Ray, C. J., & Kirschner, D. E. (2008) · Journal of Theoretical Biology · doi:10.1016/j.jtbi.2008.04.011 · Cited by 2,999
Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems
Helton, J. C., & Davis, F. J. (2003) · Reliability Engineering & System Safety · doi:10.1016/s0951-8320(03)00058-9 · Cited by 2,688
Making best use of model evaluations to compute sensitivity indices
Saltelli, A. (2002) · Computer Physics Communications · doi:10.1016/s0010-4655(02)00280-1 · Cited by 2,228
Understanding Relationships Using Copulas
Frees, E. W., & Valdez, E. A. (1998) · North American Actuarial Journal · doi:10.1080/10920277.1998.10595667 · Cited by 1,257
Probability Density Decomposition for Conditionally Dependent Random Variables Modeled by Vines
Bedford, T., & Cooke, R. M. (2001) · Annals of Mathematics and Artificial Intelligence · doi:10.1023/a:1016725902970 · Cited by 937
Metadata
- Authors
- Iman, R. L., & Conover, W. J.
- Venue
- Communications in Statistics - Simulation and Computation
- Publisher
- Informa UK Limited
- Published
- 1982-01
- Volume
- 11
- Issue
- 3
- Pages
- 311-334
- ISSN
- 0361-0918 (ISSN-L)
- 1532-4141
- OpenAlex
- W1994665973
- Cited by
- 1,620
- References
- 0
- FWCI
- 4.12
- Type
- journal article
- Language
- en
- Open access
- closed
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- Iman, R. L., & Conover, W. J. (1982). A distribution-free approach to inducing rank correlation among input variables. Communications in Statistics - Simulation and Computation. https://doi.org/10.1080/03610918208812265
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
