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Generating correlated random vector by Johnson system
Journal of Data Science
This paper aims to generate multivariate random vector with prescribed correlation matrix by Johnson system. The probability weighted moment (PWM) is employed to assess the parameters of Johnson system. By equating the first four PWMs of Johnson system with those of the target distribution, a system of equations solved for the parameters is established. With suitable initial values, solutions to the equations are obtained by the Newton iteration procedure. To allow for the generation of randomdoi:10.6339/jds.201401_12(2).0001 fatcat:d6huda3ty5fxjifaapevci4cuu