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.
Bibliographical noteFunding Information:
The authors appreciate a referee for the valuable comments which lead us to prepare an improved paper. This work is partially supported by the women's university research fund from Korea Ministry of Science and Technology.
- Correlated variables
- Generalized estimating equations
- Infinitely divisible distribution
- Random number generation