Minimally Informative Distributions with Given Rank Correlation for Use inUncertainty Analysis

摘要

Minimum information bivariate distributions with uniform marginals and aspecified rank correlation are studied in this paper. These distributions play an important role in a particular way of modeling dependent random variables which has been used in the computer code UNICORN for carrying out uncertainty analyses. It is shown that these minimum information distributions have a particular form which makes simulation of conditional distributions very simple. Approximations to the continuous distributions are discussed and explicit formulae are determined. Finally a relation is discussed to DAD theorems, and a numerical algorithm is given (which has a geometric rate of convergence) for determining the minimum information distributions. (Copyright (c) 1995 by Faculty of Technical Mathematics and Informatics, Delft, The Netherlands).