Chessboard distributions. Ghosh, S. & Henderson, S. In Peters, B., Smith, J., Medeiros, D., & Rohrer, M., editors, Proceedings of the 2001 Winter Simulation Conference, pages 385–393, Piscataway NJ, 2001. IEEE.
Chessboard distributions [pdf]Paper  abstract   bibtex   
We review chessboard distributions for modeling partially specified finite-dimensional random vectors. Chessboard distributions can match a given set of marginals, a given covariance structure, and various other constraints on the distribution of a random vector. It is necessary to solve a potentially large linear program to set up a chessboard distribution, but random vectors can then be rapidly generated.

Downloads: 0