Chessboard distributions

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.

• Type: Conference
• Year: 2001
• Where: WSC
• Authors: Soumyadip Ghosh, Shane G. Henderson
• Keywords: Chessboard Distribution, Finite-dimensional Random Vectors, Modeling And Simulation, Random Vectors, WSC 2001