Title | An Elegant Method for Generating Multivariate Poisson Data |
Publication Type | Working Paper |
Year of Publication | 2007 |
Authors | Yahav, I., and G. Shmueli |
Date | 10/2007 |
Other Numbers | arXiv:0710.5670 |
Abstract | Generating multivariate Poisson data is essential in many applications. Current simulation methods suffer from limitations ranging from computational complexity to restrictions on the structure of the correlation matrix. We propose a computationally efficient and conceptually appealing method for generating multivariate Poisson data. The method is based on simulating multivariate Normal data and converting them to achieve a specific correlation matrix and Poisson rate vector. This allows for generating data that have positive or negative correlations as well as different rates. |
URL | http://eprintweb.org/S/article/stat/0710.5670 |
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