Some Oddities regarding the Iman-Conover Method
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Beschreibung
The subsequent note provides an analysis with respect to some oddities regarding the Iman-Conover method.
The subsequent note provides an analysis with respect to some oddities regarding the Iman-Conover method.
Specifically it will be demonstrated that the use of this method for the generation of multidimensional random variates with prescribed correlation structures (specifically correlations of -0.99, -0.5, 0, 0.5 and 0.99) may result in strange constellations in some instances.
This shall be investigated visually (with regard to two dimensions respectively) for the following six types of distributions:
•Poisson
•Normal
•t
•Uniform
•Laplace
•Gamma
The Iman-Conover results will be compared to “plausible” multidimensional distributions, generated by dedicated functions for the respective distribution types.
After a brief introduction of the Iman-Conover method, the results of the analysis will be addressed.
Finally the generated R code - for the purpose of this investigation - will be presented.
Autor*in
Johann Markus Schauerhuber
During his studies and academic resp. professional activities Prof. Dr. Dr. Johann Markus Schauerhuber has been intensively involved in statistical programming, stochastic, risk theory, simulation and mathematical modeling.
Most of his professional experience has been gained in the university domain as an academic director, postdoc lecturer / researcher and in government authorities.
Email: jm_schauerhuber@gmx.at
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Oddities Iman-Conover Method Distributions