Simulating multivariate distributions with specific correlations

Journal of Statistical Computation and Simulation

Volumn 74, Issue 8, 2004, Pages 599-607

  Minhajuddin, Abu T M ^a   Harris, Ian R ^a   Schucany, William R ^a  

^a SOUTHERN METHODIST UNIVERSITY   (United States)

Author keywords

Beta distribution; Conjugate prior; Dependent; Exchangeable; Gamma distribution; Generating random variables; Joint distribution; Mixture method

Indexed keywords

EID: 3042550046     PISSN: 00949655     EISSN: None     Source Type: Journal    
DOI: 10.1080/00949650310001626161     Document Type: Article

References (6)

1. Johnson, M. E. (1987). Multivariate Statistical Simulation. Wiley, New York.
2. Casella, G. and Berger, R. L. (2001). Statistical Inference. Duxbury, Pacific Grove.
3. Gentle, J. E. (1998). Random Number Generation and Monte Carlo Methods. Springer Verlag, New York.
4. Howard, J. V. (1998). The 2×2 table: A discussion from a Bayesian viewpoint. Statistical Science, 13, 351-367.
5. Michael, J. R. and Schucany, W. R. (2002). The mixture approach for simulating bivariate distributions with specific correlations. The American Statistician, 56, 48-54.
6. Schucany, W. R., Parr, W. C. and Boyer, J. E. (1978). Correlation structure in Farlie-Gumbel-Morgenstern distribution. Biometrika, 65, 650-653.