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Title: Random Sampling of Correlated Parameters – a Consistent Solution for Unfavourable Conditions

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.
Authors:
 [1] ;  [1] ;  [2] ;  [1] ;  [3] ;  [4]
  1. Jožef Stefan Institute, Jamova cesta 39, SI-1000 Ljubljana (Slovenia)
  2. (Austria)
  3. International Atomic Energy Agency, PO Box 100, A-1400 Vienna (Austria)
  4. Argonne National Laboratory, 1710 Avenida del Mundo, Coronado, CA 92118-3073 (United States)
Publication Date:
OSTI Identifier:
22436780
Resource Type:
Journal Article
Resource Relation:
Journal Name: Nuclear Data Sheets; Journal Volume: 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)
Country of Publication:
United States
Language:
English
Subject:
73 NUCLEAR PHYSICS AND RADIATION PHYSICS; DATA COVARIANCES; MULTIVARIATE ANALYSIS; NUCLEAR DATA COLLECTIONS; RANDOMNESS; STATISTICAL MODELS