Random Sampling of Correlated Parameters – a Consistent Solution for Unfavourable Conditions
2015
Two methods for random sampling according to a multivariate lognormal distribution – the correlated sampling method and the method of transformation of correlation coefficients – are briefly presented. The methods are mathematically exact and enable consistent sampling of correlated inherently positive parameters with given information on the first two distribution moments. Furthermore, a weighted sampling method to accelerate the convergence of parameters with extremely large relative uncertainties is described. However, the method is efficient only for a limited number of correlated parameters.
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