The johnson translation system in monte carlo studies
作者:
Mark E. Johnson,
John S. Ramberg,
Chiang Wang,
期刊:
Communications in Statistics - Simulation and Computation
(Taylor Available online 1982)
卷期:
Volume 11,
issue 5
页码: 521-525
ISSN:0361-0918
年代: 1982
DOI:10.1080/03610918208812272
出版商: Marcel Dekker, Inc.
关键词: multivariate lognormal;covariance structure
数据来源: Taylor
摘要:
Multivariate lognormal and sinh-1-normal random vectors, members of the Johnson family, can be generated by direct transformation of multinormal random vectors. Formulae for specifying the parameters of the multinomial distribution in terms of the first and second order moments of the desired multivariate lognormal or sinh-1-normal distribution are given. These results facilitate the use of these distributions in Monte Carlo studies. In some previous studies employing these distributions, the effect of non-normality was confounded with that of unequal covariance structure.
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