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Abstract:
In this paper, an efficient and explicit technique is proposed for transforming correlated non-normal random variables into independent standard normal variables based on the three-parameter (3P) lognormal distribution. In contrast with the classic Nataf transformation, the derived equivalent correlation coefficient in non orthogonal standard normal space of the proposed transformation is expressed as an explicit formula, thereby avoiding tedious iteration algorithm or multifarious empirical formulas. Meanwhile, the applicable range of the original correlation coefficient is determined based on fundamental properties of the proposed expression of correlation distortion and the definition of correlation coefficient. The proposed transformation requires only the first three moments (i.e., mean, standard deviation, and skewness) of basic random variables, as well as their correlation matrix. Therefore, the proposed transformation can also be applied even when the joint distribution or marginal distributions of the basic random variables are unknown. Several numerical examples are presented to demonstrate the user-friendliness, efficiency, and accuracy of the proposed transformation applied in structural reliability analysis involving correlated non-normal random variables.
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Source :
PROBABILISTIC ENGINEERING MECHANICS
ISSN: 0266-8920
Year: 2021
Volume: 64
2 . 6 0 0
JCR@2022
ESI Discipline: ENGINEERING;
ESI HC Threshold:87
JCR Journal Grade:1
Cited Count:
WoS CC Cited Count: 13
SCOPUS Cited Count: 14
ESI Highly Cited Papers on the List: 0 Unfold All
WanFang Cited Count:
Chinese Cited Count:
30 Days PV: 9
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