Generation of Multivariate Random Variables with Known Marginal Distribution and a Specified Correlation Matrix

by Isidro R. Cruz_Medina, Mucio Osorio_Sánchez and Fernando García_Páez.

Abstract: An algorithm for generating correlated random variables with any set of marginal continuous distributions and a specified correlation matrix is provided. An example for generating a sample from a trivariate distribution with gamma marginals and positive and negative correlations is provided.

Key Words: Random vector generation, Multivariate distributions, Bivariate gamma distribution, Bivariate beta distribution

Authors:
Isidro R. Cruz_Medina, rcruz@itson.mx
Mucio Osorio_Sánchez, mosorio@itson.mx
Fernando García_Páez, garpaes@uas.uasnet.mx

Editor: Ravindra Khattree, khattree@oakland.edu

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