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Simulating select families of multivariate discrete variates with positive correlations
Author(s) -
Minhajuddin Abu T.,
Juarez Sergio F.
Publication year - 2013
Publication title -
wiley interdisciplinary reviews: computational statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.693
H-Index - 38
eISSN - 1939-0068
pISSN - 1939-5108
DOI - 10.1002/wics.1271
Subject(s) - multivariate statistics , multivariate normal distribution , simple (philosophy) , multivariate analysis , algorithm , mathematics , correlation , computer science , statistics , philosophy , geometry , epistemology
Procedures for simulating multivariate discrete distributions are often needed for modeling real‐life situations. Several authors have provided algorithms to simulate data from such distributions, yet the need for algorithms that produce multivariate discrete correlated variates persists. Thus, we propose a simple algorithm to simulate values from several multivariate discrete distributions with positive correlations. The algorithm samples from the mixture distribution that arises from a suitable two‐level hierarchical structure. Our algorithm is computationally efficient, straightforward to implement, and produces values with any positive correlation in (0,1). We illustrate our proposal through two trivariate examples implemented in R. This article is categorized under: Algorithms and Computational Methods > Random Number Generation