Generating Multivariate Random Variates

Nick T. Thomopoulos
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Nick T. Thomopoulos: Illinois Institute of Technology, Stuart School of Business

Chapter Chapter 6 in Essentials of Monte Carlo Simulation, 2013, pp 57-70 from Springer

Abstract: Abstract This chapter considers some of the more popular multivariate distributions and shows how to generate random variates for each. The probability distributions described are the following: multivariate discrete arbitrary, multinomial, multivariate hyper geometric, bivariate normal, bivariate lognormal, multivariate normal and multivariate lognormal. The Cholesky decomposition method is also presented because of its important role in generating random variates from the multivariate normal and multivariate lognormal distributions.

Keywords: Marginal Probability; Joint Probability Distribution; Multivariate Normal Distribution; Cholesky Decomposition; Bivariate Normal Distribution (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4614-6022-0_6

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DOI: 10.1007/978-1-4614-6022-0_6

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