Simulating select families of multivariate discrete variates with positive correlations

Abu T. Minhajuddin, Sergio F. Juarez

Research output: Contribution to journalReview articlepeer-review

Abstract

Procedures for simulating multivariate discrete distributions are often needed for modeling real-life situations. Several authors have provided algorithms to simulate data from such distributions, yet the need for algorithms that produce multivariate discrete correlated variates persists. Thus, we propose a simple algorithm to simulate values from several multivariate discrete distributions with positive correlations. The algorithm samples from the mixture distribution that arises from a suitable two-level hierarchical structure. Our algorithm is computationally efficient, straightforward to implement, and produces values with any positive correlation in (0,1). We illustrate our proposal through two trivariate examples implemented in R.

Original languageEnglish (US)
Pages (from-to)406-414
Number of pages9
JournalWiley Interdisciplinary Reviews: Computational Statistics
Volume5
Issue number5
DOIs
StatePublished - Sep 2013

Keywords

  • Discrete multivariate distributions
  • Exchangeable variables
  • Hierarchical structures
  • Mixture distributions
  • Monte Carlo simulation

ASJC Scopus subject areas

  • Statistics and Probability

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