Abstract Details
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Activity Number:
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82
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Type:
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Contributed
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Date/Time:
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Sunday, August 4, 2013 : 4:00 PM to 5:50 PM
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Sponsor:
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Section on Statistical Computing
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| Abstract - #307776 |
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Title:
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Generation of Correlated Data for Given Marginal Distributions and Correlation Coefficient
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Author(s):
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Jim Xiang*+
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Companies:
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Janssen Pharmaceutical
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Keywords:
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bivariate distributions ;
copula family ;
pearson correlation coefficient ;
random sample generation
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Abstract:
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In this talk, for given continuous distribution functions F(x) and G(y) and a Pearson correlation coefficient, an algorithm is provided to construct a sequence of continuous bivariate distributions with marginals equal to F(x) and G(y) and the corresponding correlation coefficient converges to pre-specified correlation coefficient. The algorithm can be easily implemented using S-Plus or R. Applications are given to generate bivariate random variables with marginals including Gamma, Beta, Weibull and uniform distributions.
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Authors who are presenting talks have a * after their name.
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