How would a create a data set from a known set of data moments or cumulants.
Its fairly easy to generate a random number with a known variance and mean. I would like to get something that lets me submit an array of cumulants (or moments)
Example: (ci = cumulent, mi = momemts)
c1 = m1 or ‘mean’
c2 = m2 − m1 = σ2 or ‘variance’ (σ = standard deviation)
c3 = m3 − 3*m1*m2 + 2*m3 or ‘skewness’
c4 = m4 − 3*m2 − 4*m1*m3 + 12*m1*m2 − 6*m1 or ‘kurtosis'
So I would like a function, f, that takes a bunch of ci values and produces a single data point whose array of historical values maintains the specified cumulants.
y(i) = f(c1,c2,c3,..., and optionally [y(i-1), y(i-2), ...])
See Moments, Cumulants and Scaling
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