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Nataf Model
Nataf Model
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.
+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)
(v)fx,(xi)F,(Xi)dxi
(4)
105
Group
Name
Symbol
Uniform
x-a
-,
Shifted exponential
SE
l-exp[-i,(x-x,)],
Shifted Rayleigh
SR
TlL
exp{ -exp[-a(x-u)])
exp[-exp(-Y)]
TlS
1- exp[ - exp(_\a)]
Gamma
GM
T2L
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
$=0,289
Shifted exponential
%;-JLo.*go
Shifted Rayleigh
,,ZG
J 6ln6
-=0.270
J 6 In 2
-=0.270
2lI
2WJz)
Lognormal
(7)
zJ&iFR
U2k)
Gamma
1 < o,282
<0.282
4Qw(k)
(2- l)r(l -l/k)
2&l
2FX,(xjlj
i<j<k
106
06)
f,cx,=~~~,(xi)~1+~j~ij[1-2~~,(xi)][1-2F,,(xjll
I
2FX,(xi)][1
I-exp
Distribution
O<J
(5)
+i~~~~aij~[l-F,i(xi~][l-F~j(xj~][l~~~~(x,)l+
I
(6)
aijk[l
lnx-i.
(0 -,
c I
Table 2.
FXi(xi 1+ f @ij[l-F.Y,(xi)][l-FX,(xj)l
1
)I i<j
1-exp(-y),
x,<x
(3) are
y,O<y< 1
a<x<b
I du and T(k) = T(k, co) are the incomplete and complete gamma functions, respectively
~QIQz
FJx)=n
Standard CDF
x,<x
LN
Lognormal
form S,[(~i-~i)/bi]fX,(~i)d~i
identically zero. Thus,
@_=p12
CDF
< 0.270
-2/k)-F(l-l/k)
(1-2-'")r(l+llk) <o,270
zJr(l+ 2/k)- w+
l/k)
Note: @(.) is the standard normal probability and r(.) is the gamma
function
Marginal
distribution
N
U
SE
SR
TlL
TlS
T2L
T3S
0.318
0.326
0.282
0.316
0.305
0.305
<0.318
<0.318
< 0.305
< 0.305
0.333
0.289
0.324
0.312
0.312
< 0.326
< 0.326
co.312
<0.312
<
<
<
<
TlL
SR
SE
0.250
0.280
0.270
0.270
0.282
0.282
0.270
0.270
0.314
0.303
0.303
<0.316
<0.316
< 0.303
< 0.303
<
<
<
<
0.292
0.292
0.305
0.305
0.292
0.292
TlS
LN
GM
T2L
T3S
0.292
< 0.305
< 0.305
< 0.292
< 0.292
-co.318
<0.318
< 0.305
< 0.305
<0.318
< 0.305
< 0.305
< 0.292
< 0.292
< 0.292
a".-k=(-2)kQlQ2...Qk
normalized,
(12)
joint
p12...k=E[(~)(~)...(~)]
(9)
THE NATAF
MODEL
Define standard
obtained
by
X=(X,,...,X,).
Zi=@-1[FX,(Xi)]9
i=
1,. . ., n
(10)
)$y,,
1
. . .
)(ll)
(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
Probabilistic
Engineering
Mechanics,
107
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
x:;x;j
x{1+0.37~[1-2@(x,)][l-2Q(x,)])
(14)
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
Lax.
SE
(Max.
SR
(Max.
TlL
(Max.
TlS
(Max.
EXAMPLES
(15)
TlL
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%)
1.026+0.082p-0.019Si+
0.2226,
+ 0.018~ + 0.288S; + 0.379s;
-0.441pSi+0.126S,6j-0.277pSj
T2L
(Max. error)
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.
(Max. error)
-0.5
1.064+0.065p-0.210Sj
+ 0.003pz + 0.3566; - 0.21 l/d,
(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%)
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%)
to group 2
1.019+0.0146,
+ O.OlOp + 0.2496;
(0.7%)
1.023 - 0.0076,
+ O.O02p* + 0.127S;
(0.1%)
GM
(Max. error)
LN
Table 7.
+ 0.21 lpc
1.064-o.O65p-o.210sj
+0.003p2 +0.3566;
(0.2%)
1.029-0.001p+0.014Sj
+0.004pz+0.233S;+0.197pSj
(0.3%)
TIS
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,
1.6 -
oono
EXACT
FORMULAE
IN TABLE
1.5 -
AND SUMMARY
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
p;,=O.287
-0.5
CORRELATION
PDF is
1.0
0.5
COEFFICIENT
<2
I.6
r
I.7
1.6
I.5
(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
I.0
0.1
0.2
1
0.3
COEFFICIENT
Fig. 3. F for X,
largest value
OF VARIATION
0.4
0.5
a2
Type-II
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).
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)
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
(19)
234-235
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
dp
-=dp
1
a,uj
0.96910.969
0.93610.936
0.981/0.780
0.993/0.915
1.000/0.886
0.886/1.000
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,
111
j,
P)
m
=xjxj hi
aPj
-a,
1-5
1
i[
1
=-~
@*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)
1m
x,aV*(Zi3Zj,P)
azi
and [xiP2(zi,=j,pI]Ccx
-m
P)
and
xlVz(Zi,Zj,
P)
C?Zi
(23
Since pij=pij, it follows that pij=pij, which proves that F
is invariant.
112