SSE/EFI Working Paper Series in Economics and Finance
No 481:
A method to generate multivariate data with moments arbitrary close to the desired moments
Johan Lyhagen ()
Abstract: 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.
Keywords: Monte Carlo; skewness; (follow links to similar papers)
JEL-Codes: C15; C63; (follow links to similar papers)
13 pages, December 18, 2001
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