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covsim: VITA, IG and PLSIM Simulation for Given Covariance and Marginals
Random sampling from distributions with user-specified population covariance matrix. Marginal information may be fully specified, for which the package implements the VITA (VIne-To-Anything) algorithm Grønneberg and Foldnes (2017) <doi:10.1007/s11336-017-9569-6>. See also Grønneberg, Foldnes and Marcoulides (2022) <doi:10.18637/jss.v102.i03>. Alternatively, marginal skewness and kurtosis may be specified, for which the package implements the IG (independent generator) and PLSIM (piecewise linear) algorithms, see Foldnes and Olsson (2016) <doi:10.1080/00273171.2015.1133274> and Foldnes and Grønneberg (2021) <doi:10.1080/10705511.2021.1949323>, respectively.
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Package details |
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| Author | Njaal Foldnes [aut, cre], Steffen Grønneberg [aut] |
| Maintainer | Njaal Foldnes <njal.foldnes@gmail.com> |
| License | GPL (>= 2) |
| Version | 1.1.0 |
| Package repository | View on CRAN |
| Installation |
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