Ledermann, Daniel; Alexander, Carol - In: Mathematics and Computers in Simulation (MATCOM) 83 (2012) C, pp. 56-79
Random orthogonal matrix (ROM) simulation is a very fast procedure for generating multivariate random samples that always have exactly the same mean, covariance and Mardia multivariate skewness and kurtosis. This paper investigates how the properties of parametric, data-specific and...