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MathGroup Archive 2002

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Re: Simulating Correlated non-Normal Random Variables

  • To: mathgroup at smc.vnet.net
  • Subject: [mg32641] Re: Simulating Correlated non-Normal Random Variables
  • From: Rodney Sparapani <rsparapa at mcw.edu>
  • Date: Fri, 1 Feb 2002 02:02:56 -0500 (EST)
  • Organization: Medical College of Wisconsin, Milwaukee
  • References: <a3apad$49d$1@smc.vnet.net>
  • Sender: owner-wri-mathgroup at wolfram.com

That transformation trick really only works for multivariate normal,
although there is a similar trick for multivariate t.  For other
distributions there are other tricks which
you can find in texts on this subject.  But, there is a general solution

for most of these problems:  Gibbs sampling.  However, I haven't
seen an implementation of that in Mathematica, but I am interested
on working on it.

--
Rodney Sparapani              Medical College of Wisconsin
Sr. Biostatistician           Patient Care & Outcomes Research (PCOR)
rsparapa at mcw.edu              http://www.mcw.edu/pcor
Was 'Name That Tune' rigged?  WWLD -- What Would Lombardi Do





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