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Article
Simulating Multivariate g-and-h Distributions
British Journal of Mathematical and Statistical Psychology (2010)
  • Rhonda K. Kowalchuk, Southern Illinois University Carbondale
  • Todd C. Headrick, Southern Illinois University Carbondale
Abstract
The Tukey family of g-and-h distributions is often used to model univariate real-world data. There is a paucity of research demonstrating appropriate multivariate data generation using the g-and-h family of distributions with specified correlations. Therefore, the methodology and algorithms are presented to extend the g-and-h family from univariate to multivariate data generation. An example is provided along with a Monte Carlo simulation demonstrating the methodology. In addition, algorithms written in Mathematica 7.0 are available from the authors for implementing the procedure.
Keywords
  • Tukey g-and-h Distributions,
  • Monte Carlo,
  • Simulation,
  • Correlated Data Sets
Publication Date
2010
Citation Information
Rhonda K. Kowalchuk and Todd C. Headrick. "Simulating Multivariate g-and-h Distributions" British Journal of Mathematical and Statistical Psychology Vol. 63 Iss. 1 (2010)
Available at: http://works.bepress.com/todd_headrick/32/