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Simulating Correlated Multivariate Pseudorandom Numbers

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  • Al-Subaihi, Ali A.

Abstract

A modification of the Kaiser and Dichman (1962) procedure of generating multivariate random numbers with specified intercorrelation is proposed. The procedure works with positive and non-positive definite population correlation matrix. A SAS module is also provided to run the procedure.

Suggested Citation

  • Al-Subaihi, Ali A., 2004. "Simulating Correlated Multivariate Pseudorandom Numbers," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 9(i04).
    • Handle: RePEc:jss:jstsof:v:009:i04
    DOI: http://hdl.handle.net/10.18637/jss.v009.i04
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    References listed on IDEAS

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    1. Allen Fleishman, 1978. "A method for simulating non-normal distributions," Psychometrika, Springer;The Psychometric Society, vol. 43(4), pages 521-532, December.
    2. C. Vale & Vincent Maurelli, 1983. "Simulating multivariate nonnormal distributions," Psychometrika, Springer;The Psychometric Society, vol. 48(3), pages 465-471, September.
    3. Pandu Tadikamalla, 1980. "On simulating non-normal distributions," Psychometrika, Springer;The Psychometric Society, vol. 45(2), pages 273-279, June.
    4. Todd Headrick & Shlomo Sawilowsky, 1999. "Simulating correlated multivariate nonnormal distributions: Extending the fleishman power method," Psychometrika, Springer;The Psychometric Society, vol. 64(2), pages 251-251, June.
    5. Todd Headrick & Shlomo Sawilowsky, 1999. "Simulating correlated multivariate nonnormal distributions: Extending the fleishman power method," Psychometrika, Springer;The Psychometric Society, vol. 64(1), pages 25-35, March.
    6. 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.
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    Cited by:

    1. Mishra, SK, 2004. "On generating correlated random variables with a given valid or invalid Correlation matrix," MPRA Paper 1782, University Library of Munich, Germany.

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