Generation of poisson and gamma random vectors with given marginals and covariance matrix
C. H. Sim · Journal of Statistical Computation and Simulation · 1993
In simulation studies we usually require the use sampling techniques involving the generation of random vectors from a multivariate population with given marginal distributions and specified correlation structure.This paper proposes two procedures for generating multivariate Poisson and Gamma random vectors having given non—identical marginal distrbutions and fixed covariance matrix with general positive entires.The generating procedures are based on a multivariate transformation method analogous to that used in the simulation of normal random vector.Properties and generating algorithms of the proposed procedures are given..