Statistical dependence through common risk factors: with applications in uncertainty analysis

JR van Dorp

doi:10.1016/j.ejor.2003.06.028

Statistical dependence through common risk factors: with applications in uncertainty analysis

JR van Dorp

Research output: Contribution to journal › Article › Scientific › peer-review

20 Citations (Scopus)

Abstract

A model for building statistical dependence between marginal distribution with bounded support is discussed. The model is geared towards elicitation of dependence parameters through expert judgment. The resulting joint distribution may be useful in uncertainty analyses where dependence between random variables with a bounded support is present due to common risk factors, such as, e.g., in the classical Project Evaluation and Review Technique. Author Keywords: Uncertainty modeling; Mixture of uniform distributions; Expert judgment

Original language	Undefined/Unknown
Pages (from-to)	240-255
Number of pages	16
Journal	European Journal of Operational Research
Volume	161
Issue number	1
DOIs	https://doi.org/10.1016/j.ejor.2003.06.028
Publication status	Published - 2005

Keywords

academic journal papers
ZX CWTS JFIS < 1.00

Access to Document

10.1016/j.ejor.2003.06.028

Cite this

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title = "Statistical dependence through common risk factors: with applications in uncertainty analysis",

abstract = "A model for building statistical dependence between marginal distribution with bounded support is discussed. The model is geared towards elicitation of dependence parameters through expert judgment. The resulting joint distribution may be useful in uncertainty analyses where dependence between random variables with a bounded support is present due to common risk factors, such as, e.g., in the classical Project Evaluation and Review Technique. Author Keywords: Uncertainty modeling; Mixture of uniform distributions; Expert judgment",

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AB - A model for building statistical dependence between marginal distribution with bounded support is discussed. The model is geared towards elicitation of dependence parameters through expert judgment. The resulting joint distribution may be useful in uncertainty analyses where dependence between random variables with a bounded support is present due to common risk factors, such as, e.g., in the classical Project Evaluation and Review Technique. Author Keywords: Uncertainty modeling; Mixture of uniform distributions; Expert judgment

KW - academic journal papers

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