On 25/07/15 07:59, gmoyeyemi wrote:
Hi, I'm having problem simulating multivariate gamma. Is there
anyone to assist in simulating multivariate gamma. I know that for
multivariate normal, we can use; mvrnorm (n, means, sigma)
For starters you have to specify exactly what you mean by "multivariate
gamma"; there is not a *unique* multivariate gamma distribution.
A little bit of googling on "multivariate gamma" will lead you to some
useful material. In particular there is a reference to the copula
package which apparently provides a means of simulating a multivariate
distribution with gamma marginals.
It is not however clear to me how one specifies the desired correlation
structure, or what the limitations on such a structure are. I find the
documentation to be opaque.
Perhaps someone with knowledge and insight on this issue will chime in.
cheers,
Rolf Turner
--
Technical Editor ANZJS
Department of Statistics
University of Auckland
Phone: +64-9-373-7599 ext. 88276
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