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A method to generate multivariate data with moments arbitrary close to the desired moments

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  • Lyhagen, Johan

    ()
    (Dept. of Economic Statistics, Stockholm School of Economics)

Abstract

We show how it is possible to generate multivariate data which have moments arbitrary close to the desired ones. They are generated as linear combinations of variables with known theoretical moments. It is shown how to derive the weights of the linear combinations in both the univariate and the multivariate setting. The use in bootstrapping is discussed and examplified with an Monte Carlo simulation where the importance of the ability of generating data with control of higher moments is shown.

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File URL: http://swopec.hhs.se/hastef/papers/hastef0481.pdf
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Bibliographic Info

Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 481.

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Length: 13 pages
Date of creation: 18 Dec 2001
Date of revision:
Handle: RePEc:hhs:hastef:0481

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Keywords: Monte Carlo; skewness;

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