mardi 27 juin 2017

How to generate samples for different uniform distributions given first-two moment matrix

Consider a concrete example, I have three different uniform distributions, i.e., x~U(-40,20),y~(-20,40),z~(-20,20). So I can calculate E[x+], E[x-], E[y+],E[y-],E[z+],E[z-], where x+ denotes max{0,x}, x- denotes min{0,x}.

Based on the uniform distribution, the moment matrix is calculated by E[(x+,x-,y+,y-,z+,z-)^T(x+,x-,y+,y-,z+,z-)]. At the same time, I restrict E[x+x-]=0 in the moment matrix. For simplicity, assume x,y,z are i.i.d

My question is how to randomly generate samples (x+,x-,y+,y-,z+,z-) under my setting given the first-two moment in matlab or R? I have searched a lot and found no method existed to solve the problem I am facing.

Appreciate for all of your help or suggestion on this look-simple question.

Relevant link for generate multivariate uniform distribution is referred to : http://ift.tt/2tg6Uru But it cannot solve my problem because it only considers all variates following the same specific uniform distribution.




Aucun commentaire:

Enregistrer un commentaire