Pei-Ling Liu, Armen Der Kiureghian,

Multivariate distribution models with prescribed marginals and covariances,

Probabilistic Engineering Mechanics,
Volume 1, Issue 2,
1986,
Pages 105-112,
ISSN 0266-8920,
https://doi.org/10.1016/0266-8920(86)90033-0.
(http://www.sciencedirect.com/science/article/pii/0266892086900330)
Abstract: 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.