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Start Over Subject distribution functions

1. $L^p$-discrepancy and statistical independence of sequences

Creator:
Grabner, Peter J., Strauch, Oto, and Tichy, Robert F.
Format:
bez média and svazek
Type:
model:article and TEXT
Subject:
sequences, statistical independence, discrepancy, and distribution functions
Language:
English
Description:
We characterize statistical independence of sequences by the $L^p$-discrepancy and the Wiener $L^p$-discrepancy. Furthermore, we find asymptotic information on the distribution of the $L^2$-discrepancy of sequences.
Rights:
http://creativecommons.org/publicdomain/mark/1.0/ and policy:public

2. Scenario generation with distribution functions and correlations

Creator:
Kaut, Michal and Lium, Arnt-Gunnar
Format:
bez média and svazek
Type:
model:article and TEXT
Subject:
stochastic programming, scenario generation, moment matching, distribution functions, and service network design
Language:
English
Description:
In this paper, we present a method for generating scenarios for two-stage stochastic programs, using multivariate distributions specified by their marginal distributions and the correlation matrix. The margins are described by their cumulative distribution functions and we allow each margin to be of different type. We demonstrate the method on a model from stochastic service network design and show that it improves the stability of the scenario-generation process, compared to both sampling and a method that matches moments and correlations.
Rights:
http://creativecommons.org/publicdomain/mark/1.0/ and policy:public