Abstract
Patchwork distributions are a class of distributions for use in simulation that can be used to model finite-dimensional random vectors with given marginal distributions and dependence properties. They are an extension of the previously developed chessboard distributions. We show how patchwork distributions can be selected to match several user-specified properties of the joint distribution. In constructing a patchwork distribution, one must solve a linear program that is potentially large. We develop results that shed light on the size of the linear program that one must solve. These results suggest that patchwork distributions should only be used to model random vectors with low dimension, say less than or equal to 5.
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Acknowledgments
The authors would like to thank the editors for their superb efforts in improving the presentation of this chapter. This work was partially supported by National Science Foundation grants DMI 0400287 and CMMI 0800688.
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Ghosh, S., Henderson, S.G. (2009). Patchwork Distributions. In: Alexopoulos, C., Goldsman, D., Wilson, J. (eds) Advancing the Frontiers of Simulation. International Series in Operations Research & Management Science, vol 133. Springer, Boston, MA. https://doi.org/10.1007/b110059_4
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DOI: https://doi.org/10.1007/b110059_4
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