• norsk
    • English
  • norsk 
    • norsk
    • English
  • Logg inn
Vis innførsel 
  •   Hjem
  • Handelshøyskolen BI
  • Articles
  • Scientific articles
  • Vis innførsel
  •   Hjem
  • Handelshøyskolen BI
  • Articles
  • Scientific articles
  • Vis innførsel
JavaScript is disabled for your browser. Some features of this site may not work without it.

A simple simulation technique for nonnormal data with prespecified skewness, kurtosis, and covariance matrix

Foldnes, Njål; Olsson, Ulf Henning
Journal article, Peer reviewed
Thumbnail
Åpne
LOCKED until 25.03.2017 due to copyright restrictions (332.3Kb)
Permanent lenke
http://hdl.handle.net/11250/2404335
Utgivelsesdato
2016
Metadata
Vis full innførsel
Samlinger
  • Scientific articles [1667]
Originalversjon
Multivariate Behavioral Research, 51(2016)2-3: 207-219   http://dx.doi.org/10.1080/00273171.2015.1133274
Sammendrag
We present and investigate a simple way to generate non-normal data using linear combinations of independent generator (IG) variables. The simulated data have prespecified univariate skewness and kurtosis, and a given covariance matrix. In contrast to the widely used Vale-Maurelli (VM) transform, the obtained data is shown to have a non-Gaussian copula. Analytically, we obtain asymptotic robustness conditions for the IG distribution. Empirically, we show that popular test statistics in covariance analysis tend to reject true models more often under the IG transform than under the VM transform. This implies that overly optimistic evaluations of stimators and fit statistics in covariance sstructure analysis may be tempered by including the IG transform for non-normal data generation. We provide an implementation of the IG transform in the R environment.
Beskrivelse
This is the accepted, refereed and final manuscript to the article published
Utgiver
Taylor & Francis
Tidsskrift
Multivariate Behavioral Research

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit
 

 

Bla i

Hele arkivetDelarkiv og samlingerUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifterDenne samlingenUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifter

Min side

Logg inn

Statistikk

Besøksstatistikk

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit