Re: Simulating Correlated non-Normal Random Variables
- To: mathgroup at smc.vnet.net
- Subject: [mg32476] Re: Simulating Correlated non-Normal Random Variables
- From: Erich Neuwirth <erich.neuwirth at univie.ac.at>
- Date: Tue, 22 Jan 2002 03:20:09 -0500 (EST)
- References: <email@example.com>
- Sender: owner-wri-mathgroup at wolfram.com
you can apply the same method to any set of independent variables
when x1 ... x1 are independent variables
and A is a matrix
has covariance matrix A'A
no normality assumptions are needed for that.
"Coleman, Mark" wrote:
> This is not a Mathematica question per se, but I'm hoping members of this list
> might be able to point me in the right direction.
> I'm constructing a Monte Carlo simulation procedure, where I need to
> draw a n-vector of correlated random variables, given that I know the
> univariate distribution of each element of the vector and the
> corresponding covariance matrix. This problem is straightforward for
> normally distributed random variables, where one can create N(0,1)
> variates and multiply by the matrix square root of the covariance matrix
> to created the correlated sample. I am dealing with non-normally
> distrubuted random variables, however. In my case they have the Beta
> Can someone point me to a way to draw an n-vector of correlated beta
> random variables?
Erich Neuwirth, Computer Supported Didactics Working Group
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