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From |
n p <nik_padazis@yahoo.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Mon, 1 Nov 2004 09:44:41 -0800 (PST) |

Thanks Roy, I will try your suggestion and I will report the results to the list tomorrow. It's almost 8 in the evening here in Greece... --- "Haas, Roy W" <HaasR@uthscsa.edu> wrote: > 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/ > __________________________________ Do you Yahoo!? Yahoo! Mail Address AutoComplete - You start. We finish. http://promotions.yahoo.com/new_mail * * 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/

**References**:**st: RE: Multivariate "mixed" distribution***From:*"Haas, Roy W" <HaasR@uthscsa.edu>

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