Sampling from a couple of positively correlated beta variates
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Publication:6472097
arXivmath/0209090MaRDI QIDQ6472097FDOQ6472097
Authors: Mario S. Catalani 
Publication date: 9 September 2002
Abstract: We know that the marginals in a Dirichlet distribution are beta variates exhibiting a negative correlation. But we can construct two linear combinations of such marginals in such a way to obtain a positive correlation. We discuss the restrictions that are to be imposed on the parameters to accomplish such a result. In the case the sampling from the Dirichlet distribution is performed through a generalization of Johnk's method we discuss the efficiency of the algorithm implementing the method.
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