An algorithm for generating positively correlated beta-distributed random variables with known marginal distributions and a specified correlation

DOI10.1016/S0167-9473(03)00169-5zbMath1429.62026MaRDI QIDQ956936

Steen Magnussen

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

expected varianceexpected covariancestandard gamma distribution

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Measures of association (correlation, canonical correlation, etc.) (62H20) Random number generation in numerical analysis (65C10)

Related Items

Parameter estimation for a bivariate beta distribution with arbitrary beta marginals and positive correlation, On a general class of gamma based copulas

Uses Software

• bootstrap

Cites Work

• Simple and Effective Confidence Intervals for Proportions and Differences of Proportions Result from Adding Two Successes and Two Failures
• Simple methods for computer generation of bivariate beta random variables
• The Mixture Approach for Simulating Bivariate Distributions With Specified Correlations
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