Generating correlated random vector involving discrete variables

Abstract

ABSTRACTFor the issue of generating correlated random vector containing discrete variables, one major obstacle is to determine a suitable correlation coefficient ρz in normal space for a specified correlation coefficient ρx. This paper develops a method to solve this problem. First, the double integral evaluated for ρx is transformed into independent standard uniform space, then, a Quasi Monte Carlo method is introduced to calculate the double integral. For a given ρx, an appropriate ρz is determined by a false position method. Compared with existing methodologies, the proposed method is less efficient, but it is relatively easy to implement.