Simulating multivariate distributions with specific correlations

Abu T M Minhajuddin, Ian R. Harris, William R. Schucany

Research output: Contribution to journalArticlepeer-review

27 Scopus citations

Abstract

The mixture approach for simulating bivariate distributions introduced by Michael, J. R. and Schucany, W. R. (2002). The mixture approach for simulating bivariate distributions with specific correlations. The American Statistician, 56, 48-54, is generalized to generate pseudo-random numbers from multivariate distributions. The simulated joint distributions have identical marginals and equal positive painwise correlations. The approach is illustrated for the p-dimensional families of beta and gamma distributions. For these families the formulas for the correlations have simple closed forms and the computations are quite simple.

Original languageEnglish (US)
Pages (from-to)599-607
Number of pages9
JournalJournal of Statistical Computation and Simulation
Volume74
Issue number8
DOIs
StatePublished - Aug 1 2004

Keywords

  • Beta distribution
  • Conjugate prior
  • Dependent
  • Exchangeable
  • Gamma distribution
  • Generating random variables
  • Joint distribution
  • Mixture method

ASJC Scopus subject areas

  • Statistics and Probability
  • Modeling and Simulation
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

Fingerprint Dive into the research topics of 'Simulating multivariate distributions with specific correlations'. Together they form a unique fingerprint.

Cite this