An algorithm for generating correlated random variables in a class of infinitely divisible distributions

DOI10.1080/00949659808811905zbMATH Open0945.65003OpenAlexW2116817758MaRDI QIDQ4253299FDOQ4253299

Authors: Chul G. Park, Dong Wan Shin 

Publication date: 9 August 1999

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949659808811905

Recommendations

• A simple approach to the generation of uniformly distributed random variables with prescribed correlations
• An algorithm to generate samples of multi-variate distributions with correlated marginals.
• An algorithm for generating positively correlated beta-distributed random variables with known marginal distributions and a specified correlation
• scientific article; zbMATH DE number 795294
• Generation method of correlated non-Gaussian random variables

zbMATH Keywords

algorithmgeneralized estimating equationsinfinitely divisible distributionsrandom number generationcorrelated random variablesAR(1) correlationbanded correlationsymmetric correlation

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10)

Cites Work

• Models for Longitudinal Data: A Generalized Estimating Equation Approach
• Longitudinal data analysis using generalized linear models
• Title not available (Why is that?)
• A method to generate autocorrelated uniform random numbers
• A Simple Scheme for Generating Multivariate Gamma Distributions with Non-Negative Covariance Matrix

Cited In (20)

• An algorithm for generating positively correlated beta-distributed random variables with known marginal distributions and a specified correlation
• Construction of random vectors of heterogeneous component variables under specified correlation structures
• A matching algorithm for generation of statistically dependent random variables with arbitrary marginals
• Modelling count data via copulas
• Outlier detection method in GEEs
• Competing regression models for longitudinal data
• Diagnostic techniques in generalized estimating equations
• A simulation study on the hybrid nature of Tango's index
• Local influence in estimating equations
• Using the sum-of-uniforms method to generate correlated random variates with certain marginal distribution
• Title not available (Why is that?)
• Influence measures based on the volume of confidence ellipsoids for GEE
• Working correlation structure selection in GEE analysis
• The Combined Model: A Tool for Simulating Correlated Counts with Overdispersion
• Generalized additive partial linear models for analyzing correlated data
• Wald one-sided test using generalized estimating equations approach
• Simulating dependent discrete data
• Analysis of GEE with a mixture working correlation matrix for diverging number of covariates
• A simple distribution-free algorithm for generating simulated high-dimensional correlated data with an autoregressive structure
• GEEs for repeated categorical responses based on generalized residuals

This page was built for publication: An algorithm for generating correlated random variables in a class of infinitely divisible distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4253299)