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Simulating Non-normal Distributions with Specified L-Moments and L-Correlations
Statistica Neerlandica (2012)
  • Todd C. Headrick, Southern Illinois University Carbondale
  • Mohan D. Pant, Southern Illinois University Carbondale
Abstract
This paper derives a procedure for simulating continuous non-normal distributions with specified L-moments and L-correlations in the context of power method polynomials of order three. It is demonstrated that the proposed procedure has computational advantages over the traditional product-moment procedure in terms of solving for intermediate correlations. Simulation results also demonstrate that the proposed L-moment-based procedure is an attractive alternative to the traditional procedure when distributions with more severe departures from normality are considered. Specifically, estimates of L-skew and L-kurtosis are superior to the conventional estimates of skew and kurtosis in terms of both relative bias and relative standard error. Further, the L-correlation also demonstrated to be less biased and more stable than the Pearson correlation. It is also shown how the proposed L-moment-based procedure can be extended to the larger class of power method distributions associated with polynomials of order five.
Keywords
  • Intermediate Correlation,
  • Monte Carlo,
  • Multivariate,
  • NORTA,
  • Power Method,
  • Pseudo-Random Numbers,
  • Simulation
Disciplines
Publication Date
2012
Citation Information
Todd C. Headrick and Mohan D. Pant. "Simulating Non-normal Distributions with Specified L-Moments and L-Correlations" Statistica Neerlandica Vol. 66 Iss. 4 (2012)
Available at: http://works.bepress.com/todd_headrick/33/