Patchwork Distributions. Ghosh, S. & Henderson, S. G. In C. Alexopoulos, D. G. & Wilson, J., editors, Advancing the Frontiers of Simulation: A Festschrift in Honor of George Samuel Fishman, volume 133, of International Series in Operations Research & Management Science, pages 65–86. Springer, 2009.
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Paper abstract bibtex
Paper abstract bibtex Patchwork distributions are a class of distributions for use in simulation that can be used to model finite-dimensional random vectors with given marginal distributions and dependence properties. They are an extension of the previously developed chessboard distributions. We show how patchwork distributions can be selected to match several user-specified properties of the joint distribution. In constructing a patchwork distribution, one must solve a linear program that is potentially large. We develop results that shed light on the size of the linear program that one must solve. These results suggest that patchwork distributions should only be used to model random vectors with low dimension, say less than or equal to 5.
@incollection{ghohen09,
abstract = {Patchwork distributions are a class of distributions for use in simulation that can be used to model finite-dimensional random vectors with given marginal distributions and dependence properties. They are an extension of the previously developed chessboard distributions. We show how patchwork distributions can be selected to match several user-specified properties of the joint distribution. In constructing a patchwork distribution, one must solve a linear program that is potentially large. We develop results that shed light on the size of the linear program that one must solve. These results suggest that patchwork distributions should only be used to model random vectors with low dimension, say less than or equal to 5.},
author = {S. Ghosh and S. G. Henderson},
booktitle = {Advancing the Frontiers of Simulation: A Festschrift in Honor of {G}eorge {S}amuel {F}ishman},
date-added = {2016-01-10 16:07:54 +0000},
date-modified = {2016-01-10 16:07:54 +0000},
editor = {C. Alexopoulos, D. Goldsman and J.R. Wilson},
pages = {65--86},
publisher = {Springer},
series = {International Series in Operations Research \& Management Science},
title = {Patchwork Distributions},
url_paper = {pubs/patchwork.pdf},
volume = {133},
year = {2009}}Downloads: 0
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