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From |
"Haas, Roy W" <HaasR@uthscsa.edu> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: Multivariate "mixed" distribution |

Date |
Mon, 1 Nov 2004 11:26:52 -0600 |

You can always use the following two-step process. Let X be the (standard) normal variable that you want to change the marginal distribution of. Then U=F(X), where F() is the standard normal cdf, has a uniform distribution. Then Y=G*(U) has the cumulative distribution G(), where G* is the inverse function of G. You may have to approximate the covariance between Y and the other marginals by a series expansion or similar device, but you now have the desired marginal distribution. Roy W. Haas, Ph.D. Department of Medicine UT Health Science Center at San Antonio 7703 Floyd Curl Drive San Antonio, TX 78229-3900 (210) 567-9272 -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of n p Sent: Monday, November 01, 2004 11:16 AM To: statalist@hsphsun2.harvard.edu Subject: st: Multivariate "mixed" distribution Dear statalisters, I want to simulate five random variables with known variance-covariance matrix. I know that if the joint pdf is multivariate normal one can use the drawnorm command or the "multiplication with the cholesky(var-cov)" trick as described in Stata's site FAQs. I have used the same principle to draw samples from other multivariate distributions e.g. multivariate t (I think it works there too). I thought I could do the same with "mixed" multivariate distributions e.g. normal for the first 4 variables and some other skewed distribution for the fifth (i.e. Gumbel) but I am afraid that it doesn't work. What i am trying to do is a sensitivity analysis on violations of the multivariate normality assumption of some model thus I want to see what's happening when only one of the five variables is not normal but is stil correlated with the other four. I hope that I made it clear. Sorry for the somehow off-topic question but I think that some knoledgeable members of the list could help. Nikos Pantazis Biostatistician __________________________________ Do you Yahoo!? Y! Messenger - Communicate in real time. Download now. http://messenger.yahoo.com * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: RE: Multivariate "mixed" distribution***From:*n p <nik_padazis@yahoo.com>

**Re: st: RE: Multivariate "mixed" distribution***From:*n p <nik_padazis@yahoo.com>

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