Modeling of a Random Variable via its Moments, Support and Dependence with other Correlated Random Variables

Beschreibung

The analysis demonstrates the construction and simulation of a random variable by prescribing its first four moments, its feasible interval for support and its correlation with other random variables.
The analysis serves to demonstrate the construction and simulation of a continuous random variable by prescribing its first four moments (mean, variance, skewness and kurtosis), its feasible interval for support (lower and upper bound) and its correlation with regard to three other prespecified correlated continuous random variables. This task will be accomplished by numerical optimization.

Autor*in

Johann Markus Schauerhuber
During his studies and academic resp. professional activities Prof. Dr. Dr. Johann Markus Schauerhuber has been intensively involved in statistical programming, stochastic, risk theory, simulation and mathematical modeling. Most of his professional experience has been gained in the university domain as an academic director, postdoc lecturer / researcher and in government authorities. Email: jm_schauerhuber@gmx.at

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