Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint
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DOI: 10.3390/risks6030064
Abstract: Statistical modeling techniques—and factor models in particular—are extensively used in practice, especially in the insurance and finance industry, where many risks have to be accounted for. In risk management applications, it might be important to… read more here.
Keywords: weighted sum; standard normal; sum constraint; normal distribution ... See more keywords