On simulating multivariate non-normal distributions from the generalized lambda distribution

DOI10.1016/j.csda.2005.06.010zbMath1445.62006OpenAlexW2005130395MaRDI QIDQ959414

A. R. Mugdadi, Todd C. Headrick

Publication date: 11 December 2008

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

Full work available at URL: https://doi.org/10.1016/j.csda.2005.06.010

zbMATH Keywords

momentssimulationcorrelated datageneralized lambda distribution

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Random number generation in numerical analysis (65C10)

Related Items (7)

Approximating Distributions by Extended Generalized Lambda Distribution (XGLD) ⋮ Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary ⋮ Generating correlated, non-normally distributed data using a non-linear structural model ⋮ A doubling method for the generalized lambda distribution ⋮ A method for simulating nonnormal distributions with specified \(L\)-skew, \(L\)-kurtosis, and \(L\)-correlation ⋮ Characterizing the generalized lambda distribution by L-moments ⋮ Estimating the Parameters of the Generalized Lambda Distribution: Which Method Performs Best?

Uses Software

• Mathematica
• MINITAB

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A method for simulating non-normal distributions
• Simulating multivariate nonnormal distributions
• Fast fifth-order polynomial transforms for generating univariate and multivariate nonnormal distributions.
• Simulating correlated multivariate nonnormal distributions: extending the Fleishman power method
• Chebyshev’s Inequality for Nonparametric Testing with Small N and α in Microarray Research
• A Probability Distribution and Its Uses in Fitting Data
• The extended generalized lambda distribution system for fitting distributions to data: history, completion of theory, tables, applications, the “final word” on moment fits
• A Method for Simulating Correlated Non-Normal Systems of Linear Statistical Equations
• Calculating Normal Probabilities
• An approximate method for generating asymmetric random variables
• An approximate method for generating symmetric random variables

This page was built for publication: On simulating multivariate non-normal distributions from the generalized lambda distribution