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

Chul Gyu Park; Dong Wan Shin

doi:10.1080/00949659808811905

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

Chul Gyu Park, Dong Wan Shin

Department of Statistics

Research output: Contribution to journal › Article › peer-review

23 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	127-139
Number of pages	13
Journal	Journal of Statistical Computation and Simulation
Volume	61
Issue number	1-2
DOIs	https://doi.org/10.1080/00949659808811905
State	Published - 1998

Bibliographical note

Funding 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.

Keywords

Correlated variables
Generalized estimating equations
Infinitely divisible distribution
Random number generation

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10.1080/00949659808811905

Cite this

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abstract = "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.",

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KW - Generalized estimating equations

KW - Infinitely divisible distribution

KW - Random number generation

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

Abstract

Bibliographical note

Keywords

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