Rank Correlation Plots for Use with Correlated Input Variables in Simulation Studies

摘要

A method for inducing a desired rank correlation matrix on multivariate input vectors for simulation studies has recently been developed by Iman and Conover (SAND 80-0157). The primary intention of this procedure is to produce correlated input variables for use with computer models. Since this procedure is distribution free and allows the exact marginal distributions to remain intact, it can be used with any marginal distributions for which it is reasonable to think in terms of correlation. A series of rank correlation plots based on this procedure when the marginal distributions are normal, lognormal, uniform, and loguniform is presented. These plots provide a convenient tool for both aiding the modeler in determining the degree of dependence among variables (rather than guessing) and communicating with the modeler the effect of different correlation assumptions. 12 figures, 10 tables. (ERA citation 06:008511)