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

DOI10.1016/S0167-9473(03)00169-5MaRDI QIDQ956936zbMATHFDO

Authors Steen Magnussen

Publication date 26 November 2008

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

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)

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Cites work

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• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 3338262 (Why is no real title available?)
• Simple and Effective Confidence Intervals for Proportions and Differences of Proportions Result from Adding Two Successes and Two Failures
• Simple methods for computer generation of bivariate beta random variables
• The mixture approach for simulating bivariate distributions with specified correlations

Cited in

(5)

• A bivariate distribution family with specified correlation coefficient and given marginals
• On a general class of gamma based copulas
• An algorithm for generating correlated random variables in a class of infinitely divisible distributions
• 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

Describes a project that uses

Uses Software

• bootstrap

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