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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.

Suggested Citation

  • Lyhagen, Johan, 2001. "A method to generate multivariate data with moments arbitrary close to the desired moments," SSE/EFI Working Paper Series in Economics and Finance 481, Stockholm School of Economics.
    • Handle: RePEc:hhs:hastef:0481
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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.
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    More about this item

    Keywords

    Monte Carlo; skewness;

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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