rValeMaurelli: Generate non-normal data with Vale & Maurelli's (1983) method

In SimDesign: Structure for Organizing Monte Carlo Simulation Designs

Generate non-normal data with Vale & Maurelli's (1983) method

Description

Generate multivariate non-normal distributions using the third-order polynomial method described by Vale & Maurelli (1983). If only a single variable is generated then this function is equivalent to the method described by Fleishman (1978).

Usage

rValeMaurelli(
  n,
  mean = rep(0, nrow(sigma)),
  sigma = diag(length(mean)),
  skew = rep(0, nrow(sigma)),
  kurt = rep(0, nrow(sigma))
)

Arguments

n	number of samples to draw
mean	a vector of k elements for the mean of the variables
sigma	desired k x k covariance matrix between bivariate non-normal variables
skew	a vector of k elements for the skewness of the variables
kurt	a vector of k elements for the kurtosis of the variables

Author(s)

Phil Chalmers [e-mail]

References

Chalmers, R. P., & Adkins, M. C. (2020). Writing Effective and Reliable Monte Carlo Simulations with the SimDesign Package. The Quantitative Methods for Psychology, 16(4), 248-280. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.20982/tqmp.16.4.p248")}

Sigal, M. J., & Chalmers, R. P. (2016). Play it again: Teaching statistics with Monte Carlo simulation. Journal of Statistics Education, 24(3), 136-156. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1080/10691898.2016.1246953")}

Fleishman, A. I. (1978). A method for simulating non-normal distributions. Psychometrika, 43, 521-532.

Vale, C. & Maurelli, V. (1983). Simulating multivariate nonnormal distributions. Psychometrika, 48(3), 465-471.

Examples

set.seed(1)

# univariate with skew
nonnormal <- rValeMaurelli(10000, mean=10, sigma=5, skew=1, kurt=3)
# psych::describe(nonnormal)

# multivariate with skew and kurtosis
n <- 10000
r12 <- .4
r13 <- .9
r23 <- .1
cor <- matrix(c(1,r12,r13,r12,1,r23,r13,r23,1),3,3)
sk <- c(1.5,1.5,0.5)
ku <- c(3.75,3.5,0.5)

nonnormal <- rValeMaurelli(n, sigma=cor, skew=sk, kurt=ku)
# cor(nonnormal)
# psych::describe(nonnormal)

SimDesign documentation built on Sept. 11, 2024, 8 p.m.