On generating correlated random variables with a given valid or invalid Correlation matrix
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- Allen Fleishman, 1978. "A method for simulating non-normal distributions," Psychometrika, Springer;The Psychometric Society, vol. 43(4), pages 521-532, December.
- Montserrat Ferré, 2004. "The Johansen Test and the Transitivity Property," Economics Bulletin, AccessEcon, vol. 3(27), pages 1-7.
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- Al-Subaihi, Ali A., 2004. "Simulating Correlated Multivariate Pseudorandom Numbers," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 9(i04).
- Pandu Tadikamalla, 1980. "On simulating non-normal distributions," Psychometrika, Springer;The Psychometric Society, vol. 45(2), pages 273-279, June.
- 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.
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More about this item
Keywords
Positive semidefinite; negative definite; maximum norm; frobenius norm; correlated random variables; intercorrelation matrix; correlation matrix; Monte Carlo experiment; multicollinearity; cointegration; computer program; multivariate analysis; simulation; generation of collinear sample data;All these keywords.
JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
- C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software
- C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
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