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Unconditional and conditional simulation of nonstationary and non-Gaussian vector and field with prescribed marginal and correlation by using iteratively matched correlation
In many probabilistic analysis problems, the homogeneous/nonhomogeneous non-Gaussian field is represented as a mapped Gaussian field based on the Nataf translation system. We propose a new sample-based iterative procedure to estimate the underlying Gaussian correlation for homogeneous/nonhomogeneous non-Gaussian vector or field. The numerical procedure takes advantage that the range of …