Multivariate_Data_Generation

Simulating Correlated Multivariate Pseudorandom Numbers. A modification of the Kaiser and Dichman (1962) procedure of generating multivariate random numbers with specified intercorrelation is proposed. The procedure works with positive and non-positive definite population correlation matrix. A SAS module is also provided to run the procedure. Multivariate_Data_Generation.sas.txt: sas.code

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References in zbMATH (referenced in 3 articles , 1 standard article )

Showing results 1 to 3 of 3.
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  1. Yin, Jun-Feng; Zhang, Yu: Alternative gradient algorithms for computing the nearest correlation matrix (2013)
  2. Simon, Dan; Abell, Jeff: A majorization algorithm for constrained correlation matrix approximation (2010)
  3. Ali Al-Subaihi: Simulating Correlated Multivariate Pseudorandom Numbers (2004) not zbMATH