A Bivariate Distribution Family with Specified Correlation Coefficient and Given Marginals |
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Authors: | Jim X Xiang |
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Institution: | 1. Janssen Research and Development, New Jersey, USAjxiang@its.jnj.com |
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Abstract: | For given continuous distribution functions F(x) and G(y) and a Pearson correlation coefficient ρ, an algorithm is provided to construct a sequence of continuous bivariate distributions with marginals equal to F(x) and G(y) and the corresponding correlation coefficient converges to ρ. The algorithm can be easily implemented using S-Plus or R. Applications are given to generate bivariate random variables with marginals including Gamma, Beta, Weibull, and uniform distributions. |
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Keywords: | Bivariate distributions Copulas Pearson correlation coefficient Random sample generation |
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