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Covariance model simulation using regular vines. (English) Zbl 1402.62093

Summary: We propose a new and flexible simulation method for non-normal data with user-specified marginal distributions, covariance matrix and certain bivariate dependencies. The VITA (VIne To Anything) method is based on regular vines and generalizes the NORTA (NORmal To Anything) method. Fundamental theoretical properties of the VITA method are deduced. Two illustrations demonstrate the flexibility and usefulness of VITA in the context of structural equation models. R code for the implementation is provided.

MSC:

62H05 Characterization and structure theory for multivariate probability distributions; copulas
62-04 Software, source code, etc. for problems pertaining to statistics
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