Accession Number : ADA288820

Title :   A Method for Simulating Correlated Random Variables From Partially Specified Distributions.

Descriptive Note : Final rept. Jan-Oct 94,

Corporate Author : INSTITUTE FOR DEFENSE ANALYSES ALEXANDRIA VA

Personal Author(s) : Lurie, Philip M. ; Goldberg, Matthew S.

PDF Url : ADA288820

Report Date : OCT 1994

Pagination or Media Count : 27

Abstract : Historical data from which to develop reliable estimates of the statistical relationships among cost elements are often scarce. Typically, information comes from many different subject-matter experts, who provide at most the moments (mean or median or mode, and possibly variance), distributional form (e.g., beta or triangular), bounds (lowest and highest possible cost), if applicable, and correlation matrix. Eliciting a fully specified multivariate distribution for the entire set of cost elements comprising a system is usually impossible. Therefore, an algorithm is needed for simulating correlated random variables from partially specified, non-normal distributions. This paper presents such an algorithm and explains how it was developed.

Descriptors :   *ALGORITHMS, *RANDOM VARIABLES, *COST ESTIMATES, *STATISTICAL PROCESSES, SIMULATION, MULTIVARIATE ANALYSIS, MOMENTS, COSTS, RELIABILITY, HISTORY, STATISTICAL DISTRIBUTIONS, ABNORMALITIES.

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE