Simulating correlated multivariate nonnormal distributions: Extending the fleishman power method
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DOI: 10.1007/BF02294317
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References listed on IDEAS
- Henry Kaiser & Kern Dickman, 1962. "Sample and population score matrices and sample correlation matrices from an arbitrary population correlation matrix," Psychometrika, Springer;The Psychometric Society, vol. 27(2), pages 179-182, June.
- C. Vale & Vincent Maurelli, 1983. "Simulating multivariate nonnormal distributions," Psychometrika, Springer;The Psychometric Society, vol. 48(3), pages 465-471, September.
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- Pesaran, M. H. & Yamagata, T., 2012. "Testing CAPM with a Large Number of Assets (Updated 28th March 2012)," Cambridge Working Papers in Economics 1210, Faculty of Economics, University of Cambridge.
- Al-Subaihi, Ali A., 2004. "Simulating Correlated Multivariate Pseudorandom Numbers," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 9(i04).
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- M. Hashem Pesaran & Takashi Yamagata, 2017. "Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities," Discussion Papers 17/04, Department of Economics, University of York.
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- Mishra, SK, 2004. "On generating correlated random variables with a given valid or invalid Correlation matrix," MPRA Paper 1782, University Library of Munich, Germany.
- Headrick, Todd C. & Mugdadi, Abdel, 2006. "On simulating multivariate non-normal distributions from the generalized lambda distribution," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 3343-3353, July.
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Keywords
simulations; pseudo-random numbers; correlated data; nonnormality;All these keywords.
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