This package implements a specific method for generating n-dimensional random
vectors with given marginal distributions and correlation matrix. The method
uses the NORTA(NORmal To Anything) approach which generates a standard normal
random vector and then transforms it into a random vector with specified
marginal distributions and the RA(Retrospective Approximation) algorithm which
is a generic stochastic root-finding algorithm. Data generation is
accomplished by first using BoundingRA
to calculate an
intermediate multivariate normal correlation matrix, then the matrix is used
to generate samples from multivariate normal distribution. The engine function
genNORTARA
will transforms the normal samples to the wanted data
set with specified inputmarginals from users. The function
valid_input_cormat
returns the lower and upper bounds of the
mixture pre-specified marginal distributions. The function
check_input_cormat
checks the input target correlation matrix
whether it is in the lower and upper bounds, if in the bounds, then the
function will return TRUE
it means the input target correaltion matrix
is feasible, otherwise, it will print the elements' positions which are out
of bounds and give an error message.
Package: | nortaRA |
Type: | Package |
Version: | 1.0.0 |
Date: | 2014-12-06 |
License: | MIT + file LICENSE |
Po Su
Maintainer: Po Su desolator@sjtu.edu.cn
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