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

Journal article (2005)

Authors

JR van Dorp OLD Operations Research and Risk Analysis
Research Group
OLD Operations Research and Risk Analysis
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Published Date

2005

Language

Undefined/Unknown

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Research Group

OLD Operations Research and Risk 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