Simulating Correlated Multivariate Pseudorandom Numbers

Ali A. Al-Subaihi

Journal of Statistical Software, 2004, vol. 009, issue i04

Abstract: 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.

Date: 2004-02-28
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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:009:i04

DOI: 10.18637/jss.v009.i04

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