dukduque/NortaPy
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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}
}