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Simulation of random vectors with given moments |
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| Authors: | F Poirion |
| Abstract: | We extend in this article the simulation method of scalar random variables with given moments, which was developed initially by Devroye, to n-dimensional random vectors. Using the conditional distribution approach, we show that the vector simulation problem can be reduced to simulate scalar random variables with given moments, which are solutions of given linear systems. |
| Keywords: | Random vectors Scalar random variables Vector simulation problem |
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