CorrNNGpois: Adjusts the Target Correlation

In RNGforGPD: Random Number Generation for Generalized Poisson Distribution

Description

CorrNNGpois adjusts the actual/realized correlation to the target correlation bounds for a pair of generalized Poisson variables.

Usage

CorrNNGpois(theta.vec, lambda.vec, r)

Arguments

theta.vec	rate parameters in the generalized Poisson distribution. It is assumed that the length of the vector is at least two, and each value has to be a positive number.
lambda.vec	dispersion parameters in the generalized Poisson distribution. It is assumed that the length of the vector is at least two. All lambda values have to be less than 1. For lambda < 0, lambda must be greater than or equal to -theta/4.
r	desired target correlation.

Value

The adjusted target correlation.

References

Yahav, I. and Shmueli, G.(2012), On generating multivariate Poisson data in management science applications. Applied Stochastic Models in Business and Industry, 28(1), 91-102.

Examples

 CorrNNGpois(c(0.1, 10), c(0.1, 0.2), 0.5)
 CorrNNGpois(c(0.1, 10), c(-0.01, -0.02), 0.5)
 CorrNNGpois(c(4, 2.3), c(-0.32,-0.3), 0.7)
 CorrNNGpois(c(14, 10), c(-0.8, -0.3), 0.9)

RNGforGPD documentation built on Nov. 18, 2020, 5:08 p.m.