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, MAR√ćA 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.