Simulating multivariate g-and-h distributions.
The Tukey family of g-and-h distributions is often used to model univariate real-world data. There is a paucity of research demonstrating appropriate multivariate data generation using the g-and-h family of distributions with specified correlations. Therefore, the methodology and algorithms are presented to extend the g-and-h family from univariate to multivariate data generation. An example is provided along with a Monte Carlo simulation demonstrating the methodology. In addition, algorithms written in Mathematica 7.0 are available from the authors for implementing the procedure.
Southern Illinois University Carbondale, Illinois, USA. rkowal@siu.edu
Rhonda K
RK
Kowalchuk
Todd C
TC
Headrick
D000465:Algorithms; D003198:Computer Simulation; D015233:Models, Statistical; D009010:Monte Carlo Method; D015999:Multivariate Analysis