A Simple Scheme for Generating Multivariate Gamma Distributions with Non-Negative Covariance Matrix

DOI10.2307/1268627MaRDI QIDQ4136391zbMATH OpenOpenAlexFDO

Authors Gerd Ronning

Publication date 1977

Full work available at URL https://doi.org/10.2307/1268627

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cited in

(6)

• Construction of random vectors of heterogeneous component variables under specified correlation structures
• An algorithm for generating correlated random variables in a class of infinitely divisible distributions
• A supplement to sowey's bibliography on random number generation and related topics
• Reliability analysis of hydraulic structures considering unit hydrograph uncertainty
• Generating random deviates from multivariate Pearson distributions
• Operationalizing approximate multiattribute utility functions for use in practice

This page was built for publication: A Simple Scheme for Generating Multivariate Gamma Distributions with Non-Negative Covariance Matrix

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4136391)