Simulating Multivariate g-and-h DistributionsBritish Journal of Mathematical and Statistical Psychology (2010)
AbstractThe 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.
- Tukey g-and-h Distributions,
- Monte Carlo,
- Correlated Data Sets
Citation InformationRhonda 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/