C-NORTA: A Rejection Procedure for Sampling from the Tail of Bivariate NORTA Distributions

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dc.contributorVirginia Techen
dc.contributor.authorGhosh, Samiken
dc.contributor.authorPasupathy, R.en
dc.contributor.departmentIndustrial and Systems Engineeringen
dc.date.accessed2014-02-05en
dc.date.accessioned2014-03-05T14:00:22Zen
dc.date.available2014-03-05T14:00:22Zen
dc.date.issued2012en
dc.description.abstractWe propose C-NORTA, an exact algorithm to generate random variates from the tail of a bivariate NORTA random vector. (A NORTA random vector is specified by a pair of marginals and a rank or product-moment correlation, and it is sampled using the popular NORmal-To-Anything procedure.) We first demonstrate that a rejection-based adaptation of NORTA on such constrained random vector generation problems may often be fundamentally intractable. We then develop the C-NORTA algorithm, relying on strategic conditioning of the NORTA vector, followed by efficient approximation and acceptance/rejection steps. We show that, in a certain precise asymptotic sense, the sampling efficiency of C-NORTA is exponentially larger than what is achievable through a naive application of NORTA. Furthermore, for at least a certain class of problems, we show that the acceptance probability within C-NORTA decays only linearly with respect to a defined rarity parameter. The corresponding decay rate achievable through a naive adaptation of NORTA is exponential. We provide directives for efficient implementation.en
dc.description.sponsorshipOffice of Naval Research N000140810066, N000140910997, N000141110065en
dc.format.mimetypeapplication/pdfen
dc.identifier.citationSoumyadip Ghosh and Raghu Pasupathy. C-NORTA: A Rejection Procedure for Sampling from the Tail of Bivariate NORTA Distributions. INFORMS Journal on Computing 2012 24:2, 295-310. doi: 10.1287/ijoc.1100.0447en
dc.identifier.doihttps://doi.org/10.1287/ijoc.1100.0447en
dc.identifier.issn1091-9856en
dc.identifier.urihttp://hdl.handle.net/10919/25825en
dc.identifier.urlhttp://pubsonline.informs.org/doi/pdf/10.1287/ijoc.1100.0447en
dc.language.isoenen
dc.publisherINFORMSen
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subjectStatisticsen
dc.subjectSimulationen
dc.subjectRandom variable generationen
dc.subjectMultivariateen
dc.subjectDistributionen
dc.subjectCorrelationen
dc.subjectValue-at-risken
dc.subjectMarginalsen
dc.titleC-NORTA: A Rejection Procedure for Sampling from the Tail of Bivariate NORTA Distributionsen
dc.title.serialInforms Journal on Computingen
dc.typeArticle - Refereeden
dc.type.dcmitypeTexten

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