Document Type
Article
Source Publication Title
Statistica Neerlandica
DOI
http://dx.doi.org/10.1111/j.1467-9574.2012.00523.x
Abstract
This paper derives a procedure for simulating continuous non-normal distributions with specified L-moments and L-correlations in the context of power method polynomials of order three. It is demonstrated that the proposed procedure has computational advantages over the traditional product-moment procedure in terms of solving for intermediate correlations. Simulation results also demonstrate that the proposed L-moment-based procedure is an attractive alternative to the traditional procedure when distributions with more severe departures from normality are considered. Specifically, estimates of L-skew and L-kurtosis are superior to the conventional estimates of skew and kurtosis in terms of both relative bias and relative standard error. Further, the L-correlation also demonstrated to be less biased and more stable than the Pearson correlation. It is also shown how the proposed L-moment-based procedure can be extended to the larger class of power method distributions associated with polynomials of order five.This paper derives a procedure for simulating continuous non-normal distributions with specified L-moments and L-correlations in the context of power method polynomials of order three. It is demonstrated that the proposed procedure has computational advantages over the traditional product-moment procedure in terms of solving for intermediate correlations. Simulation results also demonstrate that the proposed L-moment-based procedure is an attractive alternative to the traditional procedure when distributions with more severe departures from normality are considered. Specifically, estimates of L-skew and L-kurtosis are superior to the conventional estimates of skew and kurtosis in terms of both relative bias and relative standard error. Further, the L-correlation also demonstrated to be less biased and more stable than the Pearson correlation. It is also shown how the proposed L-moment-based procedure can be extended to the larger class of power method distributions associated with polynomials of order five.
Disciplines
Curriculum and Instruction | Education
Publication Date
1-1-2012
Language
English
License
This work is licensed under a Creative Commons Attribution-NonCommercial-Share Alike 4.0 International License.
Recommended Citation
Headrick, Todd C. and Pant, Mohan, "Simulating non-normal distributions with specified L-moments and L-correlations" (2012). Curriculum and Instruction Faculty Publications. 38.
https://mavmatrix.uta.edu/curriculuminstruction_facpubs/38