A method to generate multivariate data with moments arbitrary close to the desired moments

Johan Lyhagen

We show how it is possible to generate multivariate data which have moments arbitrary close to the desired ones. They are generated as linear combinations of variables with known theoretical moments. It is shown how to derive the weights of the linear combinations in both the univariate and the multivariate setting. The use in bootstrapping is discussed and examplified with an Monte Carlo simulation where the importance of the ability of generating data with control of higher moments is shown. -- Monte Carlo ; skewness

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Year of publication:	19 Dec. 2001 ; [Elektronische Ressource]
Other Persons:	Lyhagen, Johan (contributor)
Institutions:	Ekonomiska forskningsinstitutet <Stockholm> (contributor)
Publisher:	Stockholm : Ekonomiska Forskningsinst.
Subject:	skewness \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Theorie \| Theory

Extent:	Online-Ressource (PDF-Datei: 13 S., 214,74 KB)
Series:	SSE EFI working paper series in economics and finance. - Stockholm : [Verlag nicht ermittelbar], ISSN 1402-9928, ZDB-ID 2544040-8. - Vol. 481
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	nBibliography Systemvoraussetzungen: Acrobat reader
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C63 - Computational Techniques
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10001629177