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A method to generate multivariate data with the desired moments
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Information Science.
2008 (English)In: Communications in statistics. Simulation and computation, ISSN 0361-0918, E-ISSN 1532-4141, Vol. 37, no 10, 2063-2075 p.Article in journal (Refereed) Published
Abstract [en]

We show how it is possible to generate multivariate data which has moments arbitrary close to the desired ones. They are generated as linear combinations of variables with known theoretical moments. It is shown how to derive the weights of the linear combinations in both the univariate and the multivariate setting. The use in bootstrapping is discussed and the method is exemplified with a Monte Carlo simulation where the importance of the ability of generating data with control of higher moments is shown.

Place, publisher, year, edition, pages
2008. Vol. 37, no 10, 2063-2075 p.
Keyword [en]
Bootstrap, Monte Carlo, Skewness
National Category
Economics Probability Theory and Statistics
Research subject
Statistics
Identifiers
URN: urn:nbn:se:uu:diva-87275DOI: 10.1080/03610910802311684ISI: 000260208500010OAI: oai:DiVA.org:uu-87275DiVA: diva2:37452
Available from: 2008-10-06 Created: 2008-10-06 Last updated: 2017-12-12Bibliographically approved

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Lyhagen, Johan

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