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A Simple Scheme for Generating Multivariate Gamma Distributions with Non-Negative Covariance Matrix

 

作者: Gerd Ronning,  

 

期刊: Technometrics  （Taylor Available online 1977）
卷期: Volume 19, issue 2  

页码: 179-183

 

ISSN:0040-1706

 

年代: 1977

 

DOI:10.1080/00401706.1977.10489525

 

出版商: Taylor & Francis Group

 

关键词: Incidence Matrix;Multivariate Gamma Distribution;Random Numbers;Simulation

 

数据来源: Taylor

 

摘要:

To generate the gamma distributed random vector ? (of dimensionK) the scheme η = ξ(1)+Tξ(2)is considered where ξ(1)(of dimensionK) and ξ(2)(of dimensionN) consist of independently gamma distributed variables andTis a (K×N) incidence matrix. For certain “patterns” ofTthe implied restrictions on the parameter space of the desired multivariate gamma distribution are discussed; in particular the scheme does not allow negative covariances.

 

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