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Simulating multivariate nonnormal distributions


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  • C. Vale
  • Vincent Maurelli
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    Bibliographic Info

    Article provided by Springer in its journal Psychometrika.

    Volume (Year): 48 (1983)
    Issue (Month): 3 (September)
    Pages: 465-471

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    Handle: RePEc:spr:psycho:v:48:y:1983:i:3:p:465-471

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    Keywords: random numbers; random number generation;


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    1. Henry Kaiser & Kern Dickman, 1962. "Sample and population score matrices and sample correlation matrices from an arbitrary population correlation matrix," Psychometrika, Springer, vol. 27(2), pages 179-182, June.
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    Cited by:
    1. Doumpos, Michael & Zopounidis, Constantin, 2004. "Developing sorting models using preference disaggregation analysis: An experimental investigation," European Journal of Operational Research, Elsevier, vol. 154(3), pages 585-598, May.
    2. Weathers, Danny & Sharma, Subhash & Niedrich, Ronald W., 2005. "The impact of the number of scale points, dispositional factors, and the status quo decision heuristic on scale reliability and response accuracy," Journal of Business Research, Elsevier, vol. 58(11), pages 1516-1524, November.
    3. Todd C. Headrick & Yanyan Sheng & Flaviu-Adrian Hodis, . "Numerical Computing and Graphics for the Power Method Transformation Using Mathematica," Journal of Statistical Software, American Statistical Association, vol. 19(i03).
    4. Nagahara, Yuichi, 2004. "A method of simulating multivariate nonnormal distributions by the Pearson distribution system and estimation," Computational Statistics & Data Analysis, Elsevier, vol. 47(1), pages 1-29, August.
    5. 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.
    6. 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.
    7. Mahul, Olivier, 2002. "Hedging Price Risk In The Presence Of Crop Yield And Revenue Insurance," 2002 Conference, April 22-23, 2002, St. Louis, Missouri 19070, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    8. Mahul, Olivier, 2002. "Hedging Price Risk in the Presence of Crop Yield and Revenue Insurance," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24881, European Association of Agricultural Economists.
    9. Todd Headrick & Shlomo Sawilowsky, 1999. "Simulating correlated multivariate nonnormal distributions: Extending the fleishman power method," Psychometrika, Springer, vol. 64(1), pages 25-35, March.
    10. Mishra, SK, 2004. "On generating correlated random variables with a given valid or invalid Correlation matrix," MPRA Paper 1782, University Library of Munich, Germany.
    11. Ali A. Al-Subaihi, . "Simulating Correlated Multivariate Pseudorandom Numbers," Journal of Statistical Software, American Statistical Association, vol. 9(i04).
    12. Headrick, Todd C., 2002. "Fast fifth-order polynomial transforms for generating univariate and multivariate nonnormal distributions," Computational Statistics & Data Analysis, Elsevier, vol. 40(4), pages 685-711, October.
    13. M Hashem Pesaran & Takashi Yamagata, 2012. "Testing CAPM with a Large Number of Assets," Discussion Papers 12/05, Department of Economics, University of York.
    14. Ke-Hai Yuan & Peter Bentler, 2002. "On robusiness of the normal-theory based asymptotic distributions of three reliability coefficient estimates," Psychometrika, Springer, vol. 67(2), pages 251-259, June.
    15. Robert O'Brien & Pamela Homer, 1987. "Corrections for coarsely categorized measures: LISREL's polyserial and polychoric correlations," Quality & Quantity: International Journal of Methodology, Springer, vol. 21(4), pages 349-360, December.


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