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Re: st: RE: Multivariate "mixed" distribution


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
> 
> 
> 		
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