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Title

Generation of Correlated Logistic-Normal Random Variates for Medical Decision Trees
Authors

D. Clark
M. El-Taha
Journal / Anthology

Methods of Information in Medicine
Year: 1998
Volume: 37
Issue: 3
Page range: 235-238
Description

A Logistic-Normal random variable (Y) is obtained from a Normal random variable (X) by the relation Y=(e^x)/(1+e^x). In Monte-Carlo analysis of decision trees, Logistic-Normal random variates may be used to model the branching probabilities. In some cases, the probabilities to be modeled may not be independent, and a method for generating correlated Logistic-Normal random variates would be useful. A technique for generating correlated Normal random variates has been previously described. Using Taylor Series approximations and the algebraic definitions of variances, and covariances of Normal random variates which, after translation using the above formula, will result in Logistic-Normal random variates having approximately the desired means, variances, and covariances. Multiple simulations of the method using the Mathematica computer algebra system show satisfactory agreement with the theoretical results.
Subject

*Mathematics > Probability and Statistics