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https://dair.nps.edu/handle/123456789/86
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DC Field | Value | Language |
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dc.contributor.author | Eric R. Druker | |
dc.contributor.author | Richard L. Coleman | |
dc.contributor.author | Peter J. Braxton | |
dc.date.accessioned | 2020-03-16T17:05:40Z | - |
dc.date.available | 2020-03-16T17:05:40Z | - |
dc.date.issued | 2008-04-01 | |
dc.identifier.citation | Published--Unlimited Distribution | |
dc.identifier.uri | https://dair.nps.edu/handle/123456789/86 | - |
dc.description | Acquisition Management / Grant-funded Research | |
dc.description.abstract | Several previously published papers have cited the need to include correlation in risk-analysis models. In particular, a landmark paper published by Philip Lurie and Matthew Goldberg presented a methodology for inducing Pearson's correlation between input/independent random variables. The one subject, absent from the paper, was a methodology for finding the optimal applied correlation matrix given a desired outcome correlation. Since the publishing of the Lurie-Goldberg paper, there has been continuing discussion on its implementation; however, there has not been any presentation of an optimization algorithm that does not involve the use of computing-heavy simulations. This paper reviews the general methodology used by Lurie and Goldberg (along with its predecessor papers) and presents a non-simulation approach to finding the optimal input correlation matrix, given a set of marginal distributions and a desired correlation matrix. | |
dc.description.sponsorship | Acquisition Research Program | |
dc.language | English (United States) | |
dc.publisher | Acquisition Research Program | |
dc.relation.ispartofseries | Managing Risk | |
dc.relation.ispartofseries | NPS-AM-08-041 | |
dc.subject | Risk-Analysis Models | |
dc.subject | Pearson's Correlation Between Input/Independent Random Variables | |
dc.title | A Non-simulation Based Method for Inducing Pearson's Correlation between Input Random Variables | |
dc.type | Article | |
Appears in Collections: | Annual Acquisition Research Symposium Proceedings & Presentations |
Files in This Item:
File | Size | Format | |
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NPS-AM-08-041.pdf | 111.23 kB | Adobe PDF | View/Open |
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