Random Sampling of Correlated Parameters – a Consistent Solution for Unfavourable Conditions
Journal Article
·
· Nuclear Data Sheets
- Jožef Stefan Institute, Jamova cesta 39, SI-1000 Ljubljana (Slovenia)
- International Atomic Energy Agency, PO Box 100, A-1400 Vienna (Austria)
- Argonne National Laboratory, 1710 Avenida del Mundo, Coronado, CA 92118-3073 (United States)
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.
- OSTI ID:
- 22436780
- Journal Information:
- Nuclear Data Sheets, Vol. 123; Conference: International workshop on nuclear data covariances, Santa Fe, NM (United States), 28 Apr - 1 May 2014; Other Information: Copyright (c) 2014 Elsevier Science B.V., Amsterdam, The Netherlands, All rights reserved.; Country of input: International Atomic Energy Agency (IAEA); ISSN 0090-3752
- Country of Publication:
- United States
- Language:
- English
Similar Records
LHS. Generate Latin Hypercube & Random Samples
Convergence properties of polynomial chaos approximations for L2 random variables.
Positive random variables with a discrete probability mass at the origin: Parameter estimation for left-censored samples with application to air quality monitoring data
Technical Report
·
Thu Mar 01 00:00:00 EST 1984
·
OSTI ID:22436780
Convergence properties of polynomial chaos approximations for L2 random variables.
Technical Report
·
Thu Mar 01 00:00:00 EST 2007
·
OSTI ID:22436780
Positive random variables with a discrete probability mass at the origin: Parameter estimation for left-censored samples with application to air quality monitoring data
Technical Report
·
Sat Nov 01 00:00:00 EST 1986
·
OSTI ID:22436780