Generating statistically dependent pairs of random variables: A marginal distribution approach (Q1197959)

A procedure for generating statistically dependent pairs of random variates \((X,Y)\) is presented. This procedure can be used in a variety of Monte Carlo simulations. The variates follow the marginal distributions of both \(X\) and \(Y\), while maintaining a given linear or quadratic regression relationship. A special case of the procedure can be used to achieve a given product moment correlation between \(X\) and \(Y\). The random variate \(X\) is sampled according to the specifications of its marginal distribution. Sample values for the random variable \(Y\) are obtained. They preserve the first three (or four) moments of \(Y\)'s marginal distribution. The author counts that the procedure is easily set up and used. The procedure is compared with other marginal distribution approaches for generating pairs of dependent random variables. The proposed procedure is useful in a number of straightforward situations, where other methods are not applicable or difficult to use.