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

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