Re: [R] multivariate F distribution

From: Peter Dalgaard <p.dalgaard_at_biostat.ku.dk>
Date: Thu 04 Aug 2005 - 18:05:27 EST

Anna Oganyan <aoganyan@niss.org> writes:

> Dear List,
>
> Is there any function in R to generate multivariate F distribution with
> given correlation/covariance matrix?
>
> Actually, I just want to generate some 2-dimentional non-normal data
> sets (skewed) for low (may be around 0.3 cor coeff.) negatively and also
> positively correlated variables …
>
> Thanks in advance.
>
> Anna

Er, what is "multivariate F"? I have a guess (solve(A,B) where A and B have independent Wishart distributions with the same covariance matrix -- the matrix that gets summarized into Wilk's Lambda, Pillai's trace, etc.) but Googling also pops up something about "inverted Dirichlet" which may or may not be equivalent.

Wishart variates can be generate from (multivariate) normals in a brute-force way using crossprod(). Some may have thought up a more efficient way.

-- 
   O__  ---- Peter Dalgaard             ุster Farimagsgade 5, Entr.B
  c/ /'_ --- Dept. of Biostatistics     PO Box 2099, 1014 Cph. K
 (*) \(*) -- University of Copenhagen   Denmark          Ph:  (+45) 35327918
~~~~~~~~~~ - (p.dalgaard@biostat.ku.dk)                  FAX: (+45) 35327907

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Received on Thu Aug 04 18:10:10 2005

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