INVESTIGADORES
LUCINI Maria magdalena
artículos
Título:
Generating a random array with multivariate gamma distribution using the inverse transform method
Autor/es:
BUSTOS, OSCAR H; LUCINI, MARÍA MAGDALENA; FRERY, ALEJANDRO CESAR
Revista:
Revista de la Sociedad Argentina de Estadistica
Editorial:
SAE
Referencias:
Año: 2000 vol. 4 p. 23 - 37
ISSN:
0329-5583
Resumen:
A random array has multivariate gamma distribution if each marginal
distribution is a gamma distribution. In the present work it is
developed an algorithm that generates samples of such arrays from
samples of a multivariate Gaussian array, using the inverse function
of the cumulative distribution function of gamma random variables.
FORTRAN routines that implement this algorithm are presented, using
the IMSL library of subroutines. Finally, an application example is
shown.
