Covariance Model Simulation Using Regular Vines

Steffen Grønneberg () and Njål Foldnes ()
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Steffen Grønneberg: BI Norwegian Business School
Njål Foldnes: BI Norwegian Business School

Psychometrika, 2017, vol. 82, issue 4, No 7, 1035-1051

Abstract: Abstract We propose a new and flexible simulation method for non-normal data with user-specified marginal distributions, covariance matrix and certain bivariate dependencies. The VITA (VIne To Anything) method is based on regular vines and generalizes the NORTA (NORmal To Anything) method. Fundamental theoretical properties of the VITA method are deduced. Two illustrations demonstrate the flexibility and usefulness of VITA in the context of structural equation models. R code for the implementation is provided.

Keywords: multivariate simulation; non-normality; structural equation modeling; regular vines (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s11336-017-9569-6

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