An algorithm for generating correlated random variables in a class of infinitely divisible distributions

被引：21

作者：

Park, CG ^{[1
]}

Shin, DW

机构：

[1] Univ Suwon, Dept Appl Stat, Suwon 445743, South Korea

[2] Ewha Womans Univ, Dept Stat, Seoul 120750, South Korea

来源：

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION | 1998年 / 61卷 / 1-2期

关键词：

correlated variables; generalized estimating equations; infinitely divisible distribution; random number generation;

D O I：

10.1080/00949659808811905

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

A simple algorithm is proposed for generating a set of nonnegatively correlated variables having a specified correlation structure in a certain class of infinitely divisible distributions. These distributions are characterized by a property that they are closed under summation. The correlated Variables are expressed as sums of other independent random variables. The algorithm produces simple explicit expressions for typical correlation structures such as AR(1) correlation, banded correlation and symmetric correlation.

引用

页码：127 / 139

页数：13

共 50 条

[1] A CLASS OF INFINITELY DIVISIBLE RANDOM VARIABLES
GOLDIE, C
ANNALS OF MATHEMATICAL STATISTICS, 1967, 38 (02): : 642 - &
[2] A CLASS OF INFINITELY DIVISIBLE RANDOM VARIABLES
GOLDIE, C
PROCEEDINGS OF THE CAMBRIDGE PHILOSOPHICAL SOCIETY-MATHEMATICAL AND PHYSICAL SCIENCES, 1967, 63 : 1141 - +
[3] ON A CLASS OF INFINITELY DIVISIBLE DISTRIBUTIONS
KALLIANPUR, G
ROBBINS, H
ANNALS OF MATHEMATICAL STATISTICS, 1952, 23 (01): : 146 - 146
[4] RANDOM-VARIABLES WITH INFINITELY DIVISIBLE DISTRIBUTIONS AND SYMMETRICAL-SPACES
BRAVERMAN, MS
SIBERIAN MATHEMATICAL JOURNAL, 1985, 26 (02) : 185 - 197
[5] CERTAIN CLASS OF INFINITELY DIVISIBLE DISTRIBUTIONS
MEJZLER, D
ISRAEL JOURNAL OF MATHEMATICS, 1973, 16 (01) : 1 - 19
[6] A class of infinitely divisible distributions connected to branching processes and random walks
Bondesson, L
Steutel, F
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2004, 295 (01) : 134 - 143
[7] CLASS OF INFINITELY DIVISIBLE BIVARIATE GAMMA DISTRIBUTIONS
GRIFFITHS, RC
SANKHYA-THE INDIAN JOURNAL OF STATISTICS SERIES A, 1969, 31 (DEC): : 473 - 476
[8] MIXTURES OF INFINITELY DIVISIBLE DISTRIBUTIONS AS LIMIT LAWS FOR SUMS OF DEPENDENT RANDOM-VARIABLES
KLOPOTOWSKI, A
ZEITSCHRIFT FUR WAHRSCHEINLICHKEITSTHEORIE UND VERWANDTE GEBIETE, 1980, 51 (01): : 101 - 113
[9] A class of random matrices with infinitely divisible determinants
Maejima, Makoto
Perez-Abreu, Victor
STATISTICS & PROBABILITY LETTERS, 2007, 77 (02) : 166 - 168
[10] SOME RESULTS FOR INFINITELY DIVISIBLE DISTRIBUTIONS IN N VARIABLES
HORN, RA
STEUTEL, FW
ADVANCES IN APPLIED PROBABILITY, 1977, 9 (02) : 227 - 227

← 1 2 3 4 5 →