Transformations of the multivariate normal distribution with applications to simulation. [Johnson transformation system]
Michael E. Johnson, John S. Ramberg · University of North Texas Digital Library (University of North Texas) · 1978
Some results on the Johnson transformation system are obtained which can enhance applications of this system in multivariate Monte Carlo simulation studies. The primary contribution is that the mean vector and the covariance matrix in the transformed population can be specified. Applications of this system to Monte Carlo simulation studies is discussed.