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Monte Carlo Analysis<br />

Obsolete Features<br />

Figure 11-25. Four Random Samples when AGAUSS (0,1,1,MULT) is Specified<br />

If we are interested in the extreme values of a dependent random variable Y = F(X), where X is a<br />

given random variable, then it is possible to simulate only the extreme cases of the input<br />

distribution. Be aware that the effectiveness of this approach is related to a strong assumption of<br />

monotonicity about the function F. For example, if this function F is monotonically increasing,<br />

it preserves the order of the real set, for all x and y such that x ≤ y one has F(x) ≤ F(y). Therefore<br />

the extreme realizations of X are mapped directly to the extreme realizations of F.<br />

Related Topics<br />

Specifying Statistical Parameters<br />

Eldo® User's Manual, 15.3 553

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