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Creating beta multivariate random variables

  • To: mathgroup at
  • Subject: [mg54134] Creating beta multivariate random variables
  • From: alpha at
  • Date: Fri, 11 Feb 2005 03:33:58 -0500 (EST)
  • Sender: owner-wri-mathgroup at

I have a problem where I need to generate a series of
n-vectors of correlated random variables each with a univariate beta
I have a correlation matrix that defines how the variables will be

This problem is straight forward for the case when the data is Gaussian
since the invariance property applies (linear combinations of Gaussian
are again Gaussian) and I can apply the appropriate matrix to
uncorrelated Gaussian data to
obtain the desired correlation.

But applying such a transformation to beta distributed data will create
variables that are no longer beta distributed.
Anyone suggestions?

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