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Generation of multivariate distributions by vertical density representation
Authors:Kai-tai Fang  Zhenhai Yang  Samuel Kotz
Affiliation:1. Hong Kong Baptist University;2. Beijing Polytechnic University;3. George Washington University
Abstract:Troutt (1991,1993) proposed the idea of the vertical density representation (VDR) based on Box-Millar method. Kotz, Fang and Liang (1997) provided a systematic study on the multivariate vertical density representation (MVDR). Suppose that we want to generate a random vector X[d]Rnthat has a density function ?(x). The key point of using the MVDR is to generate the uniform distribution on [D]?(v) = {x :?(x) = v} for any v > 0 which is the surface in RnIn this paper we use the conditional distribution method to generate the uniform distribution on a domain or on some surface and based on it we proposed an alternative version of the MVDR(type 2 MVDR), by which one can transfer the problem of generating a random vector X with given density f to one of generating (X, Xn+i) that follows the uniform distribution on a region in Rn+1defined by ?. Several examples indicate that the proposed method is quite practical.
Keywords:Generation of distributions  Monte Carlo methods  Uniform distribution  Vertical density representation
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