Multivariate distribution models with prescribed

marginals and covariances

Pei-Ling Liu and Armen Der Kiureghian
Department of Civil Engineering, University of California, Berkeley, California,
California 94720, USA

Two multivariate distribution models consistent with prescribed marginal distributions and
covariances are presented. The models are applicable to arbitrary number of random variables and
are particularly suited for engineering applications. Conditions for validity of each model and
applicable ranges of correlation coefficients between the variables are determined. Formulae are
developed which facilitate evaluation of the model parameters in terms of the prescribed marginals
and covariances. Potential uses of the two models in engineering are discussed.

INTRODUCTION
Multivariate distribution models are frequentely needed
in engineering to describe dependent random quantities.
Because of the nature of engineering problems and the
inadequacy of statistical data, the available information
on the dependence is often limited to the knowledge of
covariances between random variables. On the other
hand, in many cases marginal distributions of variables
can be prescribed based on relatively limited data or on
physical or mathematical grounds, e.g., the central limit
theorem or asymptotic theorems of extreme values. In
such situations, there is a need for multivariate
distribution models which are consistent with the set of
known marginals and covariances, Such models, of
course, can be further tested with standard statistical
techniques against any available data to verify their
appropriateness.
Beginning with Frechets pioneering work in 19511,
there has been a growing number of joint distribution
models with prescribed marginals (see Johnson and
Kotz2). Most existing models, however, are restricted to
the bivariate case and/or can only describe small
correlation between the variables. In this paper, two
multivariate distribution models are presented which are
based on earlier works of Morgenstern and Nataf4.
Besides being applicable to an arbitrary number of
random variables, these models are easily evaluated in
terms of the known marginals and correlation coefficients
of the variables. The conditions for validity of the two
models are examined and the range of correlation
coefficients that can be described are determined.
Potential uses of these models in engineering, particularly
in the assessment of structural reliability, are discussed.
Of special interest in this paper are marginal
distributions which are described by at most two
parameters. Among these, two groups of distributions are
identified: Distributions
which are reducible to a
standard form through a linear transformation of the
variable, denoted herein as Group 1 distributions, and
distributions which are not reducible to a standard form,
Accepted

March

1986. Discussion

026~8920/86/020105-08S2.00
( 1986 CML Publications

closes August

1986.

denoted herein as Group 2 distributions. Several

examples for these two groups of distributions are listed in
Table 1.

THE MORGENSTERN MODEL

For two variables X, and X, with marginal cumulative
distribution functions (CDFs) F,,(x,)
and F,*(x,),
Morgensterns bivariate CDF is3
~X,X*h~X2)
=~x,b,)~&2W

+4l

-~x,(x,)l[1
-~X*bZm
(1)

The corresponding
(PDF) is

joint probability

density function

~2~X,X*tx19
$1
fx,x2hx2)=

ax,ax,
=f*,(xdfx,(xd

where fx,(xi)=dFx,(xi)/dxi
are the marginal PDF%. This
model is valid if fx,x,(x,,xz)>O,
which leads to the
requirement la16 1. The parameter a is related to the
correlation coefficient, pi2, of X1 and X2 through

=4aQlQl

(3)

where pi and bi are the mean and standard deviation of Xi,

respectively, and
Qi=jym

(v)fx,(xi)F,(Xi)dxi

(4)

This result is obtained by substituting from equation (2)

into equation (3) and observing that all integrals of the
.
Yrobabilistic Engineering Mechanics, 1986, Vol. 1, No. 2

105

Multivariate distribution models: P-L. Liu and A. Der Kiureghian

Table 1,

Selected two-parameter distributions

Group

Name

Symbol

Uniform

x-a
-,

Shifted exponential

SE

l-exp[-i,(x-x,)],

Shifted Rayleigh

SR

Type-I largest value

TlL

exp{ -exp[-a(x-u)])

exp[-exp(-Y)]

Type-1 smallest value

TlS

1 - exp{ - exp[a(x - u)]}

1- exp[ - exp(_\a)]

Gamma

GM

Type-11 largest value

T2L

Type-III smallest value

T3S

Note:@(.)is thestandardnormalprobability;T(k,u)=~,e-t?-

in equation

Otx

T(k, ix)
-,
r(k)

OGX

x f or selected distributions

Q=

of

x[1-2F,(x,)]+

..*

Normal

1
----0.282
2,h

Uniform

$=0,289

Shifted exponential

%;-JLo.*go

Shifted Rayleigh

,,ZG

J 6ln6

Type-I largest value

-=0.270

Type-I smallest value

J 6 In 2
-=0.270
2lI
2WJz)

Lognormal

(7)

Probabilistic Engineering Mechanics, 1986, Vol. 1, No. 2

zJ&iFR
U2k)

Gamma

1 < o,282

<0.282

4Qw(k)
(2- l)r(l -l/k)
2&l

2FX,(xjlj

i<j<k

106

06)

Type-II largest value

f,cx,=~~~,(xi)~1+~j~ij[1-2~~,(xi)][1-2F,,(xjll
I
2FX,(xi)][1

I-exp

Distribution

The probability density function is a generalization

equation (2), i.e.,

O<J

(5)

+i~~~~aij~[l-F,i(xi~][l-F~j(xj~][l~~~~(x,)l+

I
(6)

aijk[l

lnx-i.
(0 -,
c I

Table 2.

FXi(xi 1+ f @ij[l-F.Y,(xi)][l-FX,(xj)l
1
)I i<j

1-exp(-y),

x,<x

(3) are

Expressions for Qi for the distributions in Table 1 are

listed in Table 2. It is interesting to note that for Group 1
distributions Qi are constants, whereas for Group 2
distributions Qi are functions of the shape parameter of
the distribution.
It is shown in Appendix A that in general 0~ Qi< 0.5.
However, for most distributions Qi< 0.3 (see Table 2). It
follows from equation (5) that, since Ial 6 1, the range of
correlation
coetlicients that can be described by
Morgenstems model is rather limited. Table 3 lists
maximum permitted )p12) for the selected distributions.
When either marginal distribution belongs to Group 2,
the maximum permitted correlation depends on the shape
parameter. For such cases, the upper bounds of the
maximum permitted Jp121are indicated in Table 3. The
model is seen to be applicable only to variables with
rather low correlation, i.e., IpI less than around 0.3.
The following generalization of Morgenstems model
for n variables X=(X,,.. .,X,) has been suggested by
Kotz5,

y,O<y< 1

a<x<b

I du and T(k) = T(k, co) are the incomplete and complete gamma functions, respectively

~QIQz

FJx)=n

Standard CDF

x,<x

LN

Lognormal

form S,[(~i-~i)/bi]fX,(~i)d~i
identically zero. Thus,
@_=p12

CDF

Type-III smallest value

< 0.270
-2/k)-F(l-l/k)

(1-2-'")r(l+llk) <o,270
zJr(l+ 2/k)- w+

l/k)

Note: @(.) is the standard normal probability and r(.) is the gamma
function

Here, [ill< 1 are only sufficient conditions to satisfy the

nonnegativeness of the bivariate PDF of each pair Xi and
Xj. Sufficient conditions on all parameters to ensure the
validity of the model are obtained by setting f,(x)> 0. For
each i and j, the bivariate distribution of Xi and Xi from

Multivariate distribution models- P-L. Liu and A. Der Kiureghian

Table 3.

MaximimumpermittedIp,2j for Morgenstern Model

Marginal
distribution
N
U
SE
SR
TlL
TlS

T2L
T3S

0.318
0.326
0.282
0.316
0.305
0.305
<0.318
<0.318
< 0.305
< 0.305

0.333
0.289
0.324
0.312
0.312
< 0.326
< 0.326
co.312
<0.312

<
<
<
<

TlL

SR

SE

0.250
0.280
0.270
0.270
0.282
0.282
0.270
0.270

0.314
0.303
0.303
<0.316
<0.316
< 0.303
< 0.303

<
<
<
<

0.292
0.292
0.305
0.305
0.292
0.292

TlS

LN

GM

T2L

T3S

0.292
< 0.305
< 0.305
< 0.292
< 0.292

-co.318
<0.318
< 0.305
< 0.305

<0.318
< 0.305
< 0.305

< 0.292
< 0.292

< 0.292

correlation coefficients Pij through the integral relation

the preceding equation is of the same form as that in

equation (2) with ~ij replacing a. It follows that au are
obtained from equation (5) with the subscripts 1 and 2
replaced by i and j, respectively. Furthermore, it is easily
verified that Cli/k,etc., are obtained from generalization of
equation (5) in the form
PlZ...k

a".-k=(-2)kQlQ2...Qk

where pi2.. .k is the k-dimensional,

central moment

normalized,

(12)

joint

p12...k=E[(~)(~)...(~)]

(9)

These higher-order moments, however, are seldom

available in practice. It is appropriate then to truncate the
series in equation (6) at a level beyond which the joint
moments are not known.
For each set of ajj, etc., obtained from equation (8), the
joint PDF in equation (7) should be examined to verify the
nonnegativeness of the PDF. Because of this condition,
the range of allowable correlation coefficients in the
multivariate case, in general, can be narrower than those
for the bivariate case listed in Table 3. This limitation may
prohibit the use of the Morgenstern model in many
applications. The model presented in the following section
is applicable to a wider range of correlation coefficients.

THE NATAF

Lemma 1. pij is a strictly increasing firnction of pi,.

Lemma 2. pij = 0 fir pi, = 0.
Lemma 3. lqijl< l&l where the equality stands when
pij = 0 or when both marginals are normal.

MODEL

Define standard
obtained
by
X=(X,,...,X,).

normal variates Z = (Z,, . . ., Z,)

marginal
transformations
of

Zi=@-1[FX,(Xi)]9

i=

1,. . ., n

(10)

where Q(.)is the standard cumulative normal probability.

Natafs4 distribution for X is obtained by assuming that Z
is jointly normal. Using the rules of probability
transformation, the joint PDF of X is
f.~~~=fx,~~~~fx2~~2~...fx,~~~(p(z

)$y,,
1

. . .

)(ll)

where Zi=@-[Fxi(Xi)], cp(.)is the standard normal PDF,

and (P,,(z,R) in the n-dimensional normal PDF of zero
means, unit standard deviations, and correlation matrix
R. The elements pij of R are defined in terms of the

The preceding distribution model is valid provided the

mappings in equation (10) are one to one and the
correlation matrix R is positive definite. The first
condition is satisfied when Fxi(Xi) are continuous and
strictly increasing. The second condition is satisfied in
nearly all cases of practical interest, since the correlation
matrix of X by definition is positive definite and, as
subsequently shown, the differences JPij-pJ are small.
For each pair of marginal distributions and with known
pij, equation (12) can be iteratively solved for pi,. To avoid
such tedious calculations, a set of empirical formulae
relating pij to pij are developed6. These are based on the
following fundamental properties of equation (12):

Proofs for the above Lemmas are presented in

Appendix B. Based on these properties, the solution of pij
in equation (12) is unique and can be expressed in the form
Pi,=PijF

(13)
in which F, satisfying F> 1, is a function of pij and the
marginal distributions of Xi and Xj. The function F has
the following additional properties (see Appendix B for
the proofs) :
Lemma 4. F is independent of pij if one of the uariables
is normal.
Lemma 5. F is invariant to increasing
transformations Of Xi and Xj.

linear

Lemma 6. F is independent of the parameters of Group

1 distributions.
Lemma I. F is a function of the coeflcient of variation,
o=a/u, of Group 2 distributions.

Probabilistic

Engineering

Mechanics,

1986, Vol. 1, No. 2

107

Multivariate distribution models: P-L. Liu and A. Der Kiureghian

Based on Lemmas 4-7, five categories of formulae for F

for two-parameter
distributions are developed: (1)
F = constant for Xj belonging to Group 1 and Xi normal;
(2) F = F(hj) for Xj belonging to Group 2 and Xi normal;
(3) F = F(pii) for both Xi and Xj belonging to Group 1; (4)
F=F(pij,sj)
for Xi belonging to Group 1 and Xj
belonging to Group 2; and (5) F = F(pij, 6i, Sj) for both Xi
and Xj belonging to Group 2. For the selected
distributions in Table 1, the formulae are developed by
least-square fitting of polynomial expressions to exact
values computed by numerical integration of equation
(12). The results are listed in Tables 4-8 together with
maximum errors resulting from the least-square fitting.
The range of coefficients of variation used in generating
the formulae in Tables 5, 7, and 8 is 0.1-0.5. For values
outside this range, the errors in the formulae can be larger
than those listed in these tables.
As demonstrations of the formulae in Tables 4-8, plots
of F for several selected pairs of marginal distributions are
shown in Figs l-3 together with the exact results obtained
from numerical integration of equation (12). Figs. 1 and 2
represent typical cases, whereas Fig. 3 represents the case
with poorest agreement with exact results (maximum
error=4.5%, Table 7). For most distributions F is only
slightly higher than unity. However, it can be as high as 1.5
or greater when Xi and Xj are negatively correlated and

Table 4. Category I formulae, F =constant, for Xj belonging to group 1

and Xi normal
j

F = constant

Max. error

1.023
1.107
1.014
1.031
1.031

0.G
0.0%
0.0%
0.0%
0.0%

Uniform
Shifted exponential
Shifted Rayleigh
Type-I largest value
Type-I smallest value

F=F@,)

Max. error

dj

Lognormal

(exact)

J_
l.OOl -0.0076,+ 0.118s;
1.030+0.2386,+ 0.36463
1.031- 0.1956,+0.3286;

Gamma
Type-II largest value
Type-III smallest value

Note: range of coefficient of variation is 6, = 0.1 - 0.5

Table 6.

Let variables X, and X, be marginally standard normals

with correlation coefficient 0.3. From equation (5) and
Table 2, cc=rrp,,. Hence, the bivariate PDF based on the
Morgenstern model is
fx,&i+)=;?nexp

x:;x;j

x{1+0.37~[1-2@(x,)][l-2Q(x,)])

(14)

Applying the Nataf model yields the bivariate normal

distribution with piz =pi2 = 0.3, i.e.,
xf - 0.6x, x2 + .x;
2( 1 - 0.09)
exp

1
fx,x2(x1J2)=

2lrJ1-0.09

For this special case, the PDFs based on the two models
are both well behaving surfaces and are nearly coincident.
As a second example, let X, and X, have identical
exponential marginals with means 1.0 and correlation
coefficients 0.25. (This is the highest correaltion that can
be used with the Morgenstern model.) From equation (5)
and Table 2, tl= 1 and the bivariate PDF based on the
Morgenstern model is
fX,X,(x1,x2)=exp(-x1

O.O,
0.1 9,
0.1 u,

-x2)

x (1+[2exp(-x1)-

1][2exp(-x,)-l])
(16)

For

the

errpr)
error)
error)
error)
error)

1.047- 0.047p2
(0.W
1.133+0.029p2
(0.0%)
1.038-0.008p2
(O.o/,)
1.055+0.015p2
(QWJ
1.055+0.015p2
(0.0%)

SE

SR

1.229-0.367p+0.153p2
(1.5%)
1.123-0.100p+0.021pZ
(0.1%)
1.142-0.154p+0.031p2
(0.2%)
1.142+0.154p+0.031pz
(0.2%)

1.028- 0.029~
(O.o/,)
1.046- 0.045~ + 0.006p2
(0.0%)
1.046+0.045p+0.006pz
(0.0%)

Note: p =pij

108

Nataf

model,

the

correlation

coeflicient

Category 3 formulae, F= F(pij),for Xi and Xj both belonging to group I

Lax.
SE
(Max.
SR
(Max.
TlL
(Max.
TlS
(Max.

EXAMPLES

(15)

Table 5. Category 2firmulae, F = F(6,), for Xj belonging to group 2 and

Xi normal
j

their marginals are skewed in the same direction (e.g., Fig.

2 for exponential Xi and Xj) or when they are positively
correlated and their margmals are skewed in opposite
directions.
In contrast to the Morgenstern model, the distribution
model in equation (11) is applicable to a rather wide range
of correlation coefficients. Table 9 lists the maximum
permitted ranges of pij for Group 1 distributions. For
Group 2 distributions, the permitted range is dependent
on the coefficients of variation, but the results are of
similar nature. For more than two variables. the actual
permitted range may be smaller to satisfy the positive
definiteness of R.

Probabilistic Engineering Mechanics, 1986, Vol. 1, No. 2

TlL

1.064- 0.069p + o.o05pz

(O.oo/,)
1.064+ 0.069p + O.OOSp~
(O.oo/,)

TlS

1.064-0.069p + o.005pz
(O.cq)

Category

-0.197~s~

Note: p=pij;

(Max. error)

T3S

(Max. error)

ranges

ofvariation are

Si,Sj=O.l

-0.5

1.032+0.034p0.0076,-0.2026,
+0.121s~+0.339s~
-0.006pS,+0.0036,6,0.11 IpS,
(4.0/,)

1.031+0.052p+0.0116,-0.2106,
+ o.oo2pz + 0.2206: + 0.35OSf
+0.005p6,+0.0096,6,-0.174ps,
(2.4%)

of coefficients

(4.2%)

(4.3%)

1.029 + 0.056~ - 0.030Si + 0.2256,

+o.012pz +0.174s; +0.379s;
-0.313pSi+0.075S,6,-0.182~s~

1.026+0.082p-0.019Si+
0.2226,
+ 0.018~ + 0.288S; + 0.379s;
-0.441pSi+0.126S,6j-0.277pSj

T2L

(Max. error)

1.002 + 0.022p - 0.012(Si + sj,

+0.001p2+0.125(S~+Sf)
- 0.077&7(Si+ Sj) + 0.01 4Ssj
(4.0/,)

1.001 +0.033p+O.O046,-0.0166,
+0.002p2+0.223S;+0.130S;
-0.104pS,+0.029S,Sj0.1 19pSj
(4.0/,)

+Sf)

(exact)

+S:)ln(l

In(l +pS,dj)

GM

p&(1

LN

(Max. error)

LN

Xi
GM

Category 5 ,formulae, F = F(pij, 6,. S,), for Xi and Xj both belonging to group 2

of variation

I----------..._

Table X.

Note: p=~,~; range of coeflicient

(Max. error)
-0.5

1.064+0.065p-0.210Sj
+ 0.003pz + 0.3566; - 0.21 l/d,
(0.2%)

1.047 +o.O42p -0.2126,

+0.35363-0.136~s~
(0.2%)

is Sj=O.l

(1.0%)

(1.2%)

1.061 -0.2376,
- o.O05p* + 0.379a;
(0. 5/,)

1.147+0.145p-0.2716,
+ 0.01 Op + 0.45965 - 0.467~6,
(0.4%)

T3S

(Max. error)

1.065+0.146p+0.2416,-0.2596,
+ 0.013p2 + 0.37262 + 0.43563
+ 0.005pSi+0.034S,6,0.481~6,
(3.8%)

1.086+0.054p+0.104(6,+6,)
-0.055p
+0.662(6; + S;)
- 0.570p(Si+ Sj) + 0.2036,6,
-0.020p3-0.218(6;+6;)
-0.371p(Sf
+S;)+0.257p2(S,+
+o.141sp,(si+sj)
(4.3%)

1.036- 0.038~ + 0.266Sj

+ O.O28p* + 0.3836; - 0.229~6,

Sj)

1.056-0.060~
+0.263Sj
+ 0.02Op + 0.3836; - 0.332~s~

+ 0.074p + 0.4056;
(2.1%)

(0.9%)

l.lW-0.152p+0.361Sj
+ O.l3Op* + 0.4556; - 0.728~6~
(4.5%)

1.033+ 0,305Sj

1.031 +o.O01p-0.007s,
+O.O03p* +0.1316;-0.132~s~
(0.3%)

1.029+0.001p+0.0146,
+O.O04p* +0.2336;
(0.3%)

T2L

1.014+0.001p
- 0.0076,
+ O.O02p* + 0.126S; - O.O9OpS,

(0.4%)

1.011+0.001p+0.0146,
+0.0D4p2+0.231S;-0.130pSj

TlL

(Max. error)

(1.6%)

1.098 + om3p + 0.0196,

+ 0.025p2 + 0.3036; - o.437psj

to group 2

I. 104 + 0.003p - 0.0086,

+ 0.014p +0.1736; -0.296~6,
(0.9%)

1.019+0.0146,
+ O.OlOp + 0.2496;
(0.7%)

4 .fimnulue, F = F(pii. Si), .for Xi belonging fo group I and Xi belmging

1.023 - 0.0076,
+ O.O02p* + 0.127S;
(0.1%)

GM

(Max. error)

LN

Table 7.

+ 0.21 lpc

1.063 - 0.004p - 0.200@, + 6,)

-o.00lp*+0.337(Sf+sf)
+ O.O07p(S, + 6,) - o.O07s,cT,
(2.6%)

1.064-o.O65p-o.210sj
+0.003p2 +0.3566;
(0.2%)

1.056+ 0.06Op + 0.263Sj

+ 0.02Op +0.3836; + 0.332~~
(1.0%)

1.03 1 - O.OOlp - 0.0076,

+0.003pZ+0.131Sf+0.132p,
(0.3%)

1.029-0.001p+0.014Sj
+0.004pz+0.233S;+0.197pSj
(0.3%)

TIS

Multivariate distribution models: P-L. Liu and A. Der Kiureghian

1.25

o o o EXACT
-

DISCUSSION

FORMULAE

IN TABLE

1.20
t

1.15 c

\
NORMAL / TYPE II

I/

NORMAL/

LOGNORMAL

1.05

NORMAL /TYPE

0.1

0.2

~
\

llI

0.3

COEFFICIENT

Fig. 1.

(EXACT)

NORMAL /GAMMA,

0.4

OF VARIATION

0.5

6,

F for X, belonging to group 2 and X, normal

1.6 -

oono

EXACT

FORMULAE

IN TABLE

1.5 -

AND SUMMARY

As stated in the introduction, in many engineering

applications the available information on the random
variables is limited to the set of marginal distributions and
the covariances. The multivariate distribution models
presented in this paper should prove to be useful in
describing the dependence between random variables in
such applications. Both models presented are applicable
to arbitrary number of random variables and, using the
formulae developed in this paper, are easily evaluated in
terms of the known marginals and correlation coefficients.
This feature makes the proposed models particularly
attractive for engineering analysis. The Morgenstern
model provides a well behaving PDF, but is only
applicable to variables with low correlation (i.e., within
the range + 0.3). The Nataf model is capable of describing
a wider range ofcorrelation coefficients, but the PDF may
exhibit undesirable behaviour if the variables are highly
nonnormal. These limitations and conditions for validity
of the two models are further addressed in the paper.
One area in engineering where the Nataf model proves
to be particularly attractive is in the evaluation of
structural reliability. It is found convenient in such
evaluations to transform the set of random variables X
into the standard normal space. This allows simple

1.4 -

EXPONENTIAL/EXPONENTIAL
/

1.3

a\/

YPE I /TYPE I
RAYLEIGH/RAYLEIGH
UNIFORM/UNIFORM

1.0
-1.0

-0.5

CORRELATION

COEFFICIENT

,100

EXACT

FORMULAE

IN TABLE

1.6

0.5

1.0

q2

Fig. 2. Seiected plots ofFfor X, and X, both belonging to

group 1
-1.0

p;,=O.287

-0.5

CORRELATION

is obtained from Table 6 and the bivariate

PDF is

1.0

0.5

COEFFICIENT

<2

I.6
r
I.7

1.6

I.5

x exp( - 0.0452: + 0.3 132, z2 - 0.0452~)

(17)
where zi=@-(l-exp(-xi)),
i= 1,2. Whereas the PDF
based on the Morgenstern model is a smooth surface
bounded in the first quadrant of the sample space, the
PDF based on the Nataf model exhibits strong warping
along the edges x, = 0 and x2 = 0 and it is unbounded at
the origin. This behaviour is due to the high nonnormality
of the exponential distribution at the origin. Although this
behaviour may not be desirable in modelling physical
phenomena, the Nataf model has the advantage that it
can describe a much wider range of the correlation
coefficient than the Morganstern model. For the present
example, the admissible range of the correlation
coefficient for the Nataf model is -0.645 to 1.000, as
indicated in Table 9.

110

Probabilistic Engineering Mechanics, 1986, Vol. 1, NO. 2

I.0

0.1

0.2

1
0.3

COEFFICIENT

Fig. 3. F for X,
largest value

OF VARIATION

0.4

0.5

a2

shifted exponential and X,

Type-II

Multivariate distribution models: P-L. Liu and A. Der Kiureghian

Table 9.

Lower/upper bounds on pij for Nataf model

Marginal
distribution
N
U
SE
SR
TlL
TlS

l.OOO/l.OOo
0.97710.977
0.903/0.903
0.986/0.986
0.96910.969
0.96910.969

0.977/0.911
0.999fO.999
0.866/0.866
0.970/0.970
0.93610.936
0.93610.936

- 0.903/0.903
- 0.886/0.886
- 0.645/1.000
- 0.81910.957
- 0.780/0.981
-0.981/0.780

- 0.98610.986
- 0.970/0.970
-0.819/0.957
- 0.947/1.000
- 0.915JO.993
-0.983/0.915

F,(ou+p).

approximations of the reliability, even for very large

number of random variables. Using the Natafmodel, this
transformation is easily accomplished by the marginal
transformations
of equation (10) and by a linear
transformation of the variables Z. By contrast, the
Morgenstem
distribution
would require a rather
complicated transformation involving the conditional
distributions. Application of the Nataf model to the
structural reliability problem is described in Refs 6 and 8.

Q=

s -CC

ufvb)~u(u)

du +

s 0

uf,(u)F,(u)

du

0
> F,(O)

s -0D

4Au)

du + F,(O)

m 4,(u)
s 0

du

F,(O)E[ U] = 0

(18)

which proves the lower bound. The upper bound is

obtained by writing

The work presented herein has been supported by the

National Science Foundation under Grant No. CEE8205049. This support is gratefully acknowledged. The
authors wish to thank D. Brillinger of the University of
California, Berkeley, for valuable suggestions during the
course of the study and one reviewer for his/her
constructive comments.

a,
Q=

&(u)F&
s -00

du +

s
s

s 0

uf,(u)F,(u)du

<

REFERENCES

4,(u) du

MMu) du

=;E[JUI] <;Jm=OS

Frecbet, M. Sur les Tableaux de Correlation dont les Marges sent

Donnees, Annales de PCJnioersite de Lyon 1951,13,53-77, Section A,
Series 3
Johnson, N. L. and Kotz, S. Distributions in Statistics - Continuous
Multivariate Distributions, John Wiley and Sons, Inc., New York,
1976
Zweidimensionaler
Beispiele
Einfache
Morgenstem,
D.
Verteilungen, Miteilingsblatt fir Mathematische Statist& 1956, 8,

(19)

If U 1 and U, denote two independent standard variates

with identical distributions F,(u), one interesting result
from the preceding analysis is

234-235

Nataf, A. Determination des Distribution dont les Marges sont

Donnees, Comptes Rendus de PAcademie des Sciences, Paris, 1962,
225,42-43
Katz, S. Multivariate Distribution at a Cross Road in Statistical
Distributions in Scienrific Work, (Eds G. P. Patil et al.), D. Reidel
Publ. Co., Dordrecht, Holland, 1975, 1, 247-270
Der Kiureghian, A. and Liu, P-L. Structural Reliability Under
Incomplete Probability Information, Report No. UCB/SESM45/01,
Department ofCivil Engineering, Division ofstructural Engineering
and Structural Mechanics, University of California, Berkeley,
January 1985
Madsen, H. O., Krenk, S. and Lind, N. C. Methods of Structural
Safety, Prentice-Hall, Inc., Englewood Cliffs, NJ, 1986
Der Kiureghian, A. and Liu, P-L. Structural Reliability Under
Incomplete Probability Information, Journal o/ Engineering
Mechanics, ASCE, 1986, 112.85-104
Lancaster, H. 0. Some Properties of Bivariate Normal Distribution
Considered in the Form ofa Contingency Table, Biometrika 1957,44,

Q=

O uf,(u)&,(u)du=Z
s -m

E[max(U,,

=t

O
_m udF,(u)2
s

U,)]

(20)

which implies O< E[max(U,, U,)] < 1 for any two such
variables.

APPENDIX

The proofs of Lemmas l-7 are as follows:

Proof of Lemma 1. It is sufficient to show that the
derivative dpij/dpb is positive. Omitting subscripts on pij
and pij for clarity,

dp

-=dp

1
a,uj

To prove O<Q<O.S, it is convenient to introduce the

standard variate U = (X -p)/c
with CDF F,(u)=

0.96910.969
0.93610.936
0.981/0.780
0.993/0.915
1.000/0.886
0.886/1.000

Equation (4) then can be written

ACKNOWLEDGEMENT

APPENDIX

m uf,(u)F,(u)du
s --co

289-292

- 0.96910.969
- 0.93610.936
- 0.780/0.981
-0.915fO.993
- 0.886/1.000
- 1.000/0.886

ss_ m

lrn

=----aPj

a(P2(ZirZj9p)

_m xixj

s -m

xi

s -m

xj

dz,dz

ap
d2V2(zi9 zjv P)
az,azj

dz, dz,

Probabilistic Engineering Mechanics, 1986, Vol. 1, No. 2

111

Multivariate distribution models: P-L. Liu and A. Der Kiureghian

j,
P)
m
=xjxj hi
aPj
-a,
1-5
1

i[

1
=-~

Proof of Lemma 4. For normal Xi, Zi = (Xi - pi)/ai and

equation (12) reduces to

@*tzi,

=dxj
_03dzj

P)

Lc dxjacp2(Zi,Zjr

-m

dzj

dZi

x,a%(z~zj~~) dzidzj
_m
~Zi

=;

E[XjZj]p;

(22)

x dx.
__L pz(zi, zj, p) dzi dzj
-a;
dzi
s

1
O a: dx.dx.
=-----! 2 po,(zi, zj, p)dzi dzj
o,~j s _oos _m dzi dzj

(21)

In this derivation, use is made of the fact that

1m

x,aV*(Zi3Zj,P)

azi

and [xiP2(zi,=j,pI]Ccx

-m

are identically zero. This is obvious for marginal

distributions with bounded tails. For distributions with
unbounded tails, fx,(xi) must decay faster than xF3 to
have a finite variance. Using this fact, examination of the
asymptotic behaviour of the products
a(Pz(Zi,Zj,

P)
and

xlVz(Zi,Zj,

P)

C?Zi

which shows that F is a function of the distribution of Xj

only.
Proof o_f Lemma 5. Let x,=cc,+b,X,
and Zk=
W1[FPk(X,)], k= i,j, where aL and b, are arbitrary
constants and& > 0. Using superposed bars to denote the
properties of X,, iik= ak + b,p, and 8, = b,a,. It is easy to
see that (Xk-fik)/tik= (xk -pk)/ok. Also, since FX.,(Xk)=
FX,(xk), then Zk=zk. Now, eqbation (12) for X,and Xj can
be written

(23
Since pij=pij, it follows that pij=pij, which proves that F
is invariant.

shows that both these products approach zero as zi and zj

approach infinity. From equation (lo), since xi is a strictly
increasing function of zi, it follows that dxJdzi, dxj/dzj
and, therefore, the integral are all positive, which proves
the lemma.

Proof of Lemma 8. This is a direct result of Lemma 5,

since for a Group 1 distribution the variable can be
linearly transformed to a standard form.

Proof of Lemma 2. This follows from simple

substitution in equation (12). This property implies that
Xi and Xj are considered independent if they are
uncorrelated. Together with Lemma 1, this also shows
that the algebraic sign of pi; is the same as that of pij.
The proof of Lemma 3 can be found in Ref. 9.

Proof of Lemma 7. This follows from Lemma 5, since

for a Group 2 distribution the variable can be scaled to
have a unit mean, in which case the shape of the
distribution is completely described by the coefficient of
variation.

112

Probabilistic Engineering Mechanics, 1986, Vol. 1, No. 2