An algorithm for generating positively correlated beta-distributed random variables with known marginal distributions and a specified correlation

DOI10.1016/S0167-9473(03)00169-5zbMATH Open1429.62026MaRDI QIDQ956936FDOQ956936

Authors: Steen Magnussen 

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

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zbMATH Keywords

expected varianceexpected covariancestandard gamma distribution

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Random number generation in numerical analysis (65C10) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

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• Simple and Effective Confidence Intervals for Proportions and Differences of Proportions Result from Adding Two Successes and Two Failures
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• Simple methods for computer generation of bivariate beta random variables
• The mixture approach for simulating bivariate distributions with specified correlations

Cited In (4)

• An algorithm for generating correlated random variables in a class of infinitely divisible distributions
• On a general class of gamma based copulas
• Approximate bivariate gamma generator with prespecified correlation and different marginal shapes
• Parameter estimation for a bivariate beta distribution with arbitrary beta marginals and positive correlation

Uses Software

• bootstrap

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