Generating Multivariate Nonnormal Distribution Random Numbers Based on Copula Function

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Volume 2, Issue 3

J. Info. Comput. Sci. , 2 (2007), pp. 191-196.

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Abstract

Random numbers of multivariate nonnormal distribution are strongly requested by the area of theoretic research and application in practice. A new algorithm of generating multivariate nonnormal distribution random numbers is given based on the Copula function, and theoretic analysis suggests that the algorithm is suitable to be feasible. Furthermore, simulation shows that the empirical distribution which is formed by random numbers generating from the proposed algorithm can well approach the original distribution.

Keywords

Multivariate Nonnormal Distribution,Random Number, Copula,Algorithm

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@Article{JICS-2-191, author = {}, title = {Generating Multivariate Nonnormal Distribution Random Numbers Based on Copula Function}, journal = {Journal of Information and Computing Science}, year = {2007}, volume = {2}, number = {3}, pages = {191--196}, abstract = { Random numbers of multivariate nonnormal distribution are strongly requested by the area of theoretic research and application in practice. A new algorithm of generating multivariate nonnormal distribution random numbers is given based on the Copula function, and theoretic analysis suggests that the algorithm is suitable to be feasible. Furthermore, simulation shows that the empirical distribution which is formed by random numbers generating from the proposed algorithm can well approach the original distribution. }, issn = {3080-180X}, doi = {https://doi.org/}, url = {http://global-sci.org/intro/article_detail/jics/22797.html} }

TY - JOUR T1 - Generating Multivariate Nonnormal Distribution Random Numbers Based on Copula Function AU - JO - Journal of Information and Computing Science VL - 3 SP - 191 EP - 196 PY - 2007 DA - 2007/09 SN - 2 DO - http://doi.org/ UR - https://global-sci.org/intro/article_detail/jics/22797.html KW - Multivariate Nonnormal Distribution,Random Number, Copula,Algorithm AB - Random numbers of multivariate nonnormal distribution are strongly requested by the area of theoretic research and application in practice. A new algorithm of generating multivariate nonnormal distribution random numbers is given based on the Copula function, and theoretic analysis suggests that the algorithm is suitable to be feasible. Furthermore, simulation shows that the empirical distribution which is formed by random numbers generating from the proposed algorithm can well approach the original distribution.

. (2007). Generating Multivariate Nonnormal Distribution Random Numbers Based on Copula Function. Journal of Information and Computing Science. 2 (3). 191-196. doi:

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