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Questions tagged [random-variables]

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Getting sets of random correlated variables

For the training of a machine learning model I need to add additional features (macro variables), and these features are correlated. I need to run the model N times adding these features with random ...
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Convolution of generalized hyperbolic distribution

I have a question concerning the convolution of generalized hyperbolic distributions. Proposition 6.13 of McNeil, Embrechts, Frey states the following: If $X$ has a $d$-dimensional generalized ...
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Can we generate(in high dimension) uniformly distributed variables in a finite volume other than a cube?

I'd like to know if there is in the literature a (computationally cheap) algorithm to generate uniformly distributed variables in high dimension for a volume other than a cube and without using ...