GitHub - dukduque/NortaPy: A python implementation of NORTA algorithm for random vector generation with component-wise correlation.

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A python implementation of NORTA algorithm for random vector generation with component-wise correlation.

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Name		Name	Last commit message	Last commit date
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examples		examples
norta		norta
README.txt		README.txt
setup.py		setup.py

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Implentation of NORTA procedure Cario and Nelson, 1997.

NORTA fits a sequence of random vectors to follow specified marginal 
distributions and a given covariance matrix. The procedure is a copula-type
method.

@TECHREPORT{Cario97,
    author = {Marne C. Cario and Barry L. Nelson},
    title = {Modeling and generating random vectors with arbitrary marginal distributions and correlation matrix},
    year = {1997},
    institution={Northwestern University}
}

@article{cario_nelson_96,
  title={Autoregressive to anything: Time series input processes for simulation},
  author={Marne C. Cario and Barry L. Nelson},
  journal={Operations Research Letters},
  pages={51-58},
  volume={19},
  year={1996}
}