Physical Sciences and Mathematics Commons^™

Simulating Correlated Multivariate Nonnormal Distributions: Extending The Fleishman Power Method, Todd C. Headrick, Shlomo S. Sawilowsky

Todd Christopher Headrick

A procedure for generating multivariate nonnormal distributions is proposed. Our procedure generates average values of intercorrelations much closer to population parameters than competing procedures for skewed and/or heavy tailed distributions and for small sample sizes. Also, it eliminates the necessity of conducting a factorization procedure on the population correlation matrix that underlies the random deviates, and it is simpler to code in a programming language (e.g,, FORTRAN). Numerical examples demonstrating the procedures are given. Monte Carlo results indicate our procedure yields excellent agreement between population parameters and average values of intercorrelation, skew, and kurtosis.