Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
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Authors: Ali A. Al-Subaihi
Title: Simulating Correlated Multivariate Pseudorandom Numbers
Abstract: A modification of the Kaiser and Dichman (1962) procedure of generating multivariate random numbers with specified intercorrelation is proposed. The procedure works with positive and non-positive definite population correlation matrix. A SAS module is also provided to run the procedure.

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Paper: Simulating Correlated Multivariate Pseudorandom Numbers     Download PDF (Downloads: 25106)
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DOI: 10.18637/jss.v009.i04

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.