I'd like to draw from a multivariate distribution (of any type), conditional to knowing only the moments of the the marginal distributions and the overall covariance (or correlation) matrix. Clearly, I'd like the drawn multivariate distributions to preserve the given moment characteristics of each marginal distribution, as well as the given overall correlation.
Both methods can be envisioned as transformation from (multi)-normal variates. In particular, being the Cholesky-decomposition method a linear transformation, I get the feeling that it applies well when generating multivariate normals, but performs poorly in other non-normal cases. For instance, the first question is
Q1) How to incorporate information on third and fourth marginal moments, while applying the Cholesky transform, such that the resulting multivariate draw does keep marginal moments invariant ? (first and second marginal moments can be already made transformation-invariant, as shown in the links above).
The second approach based on inverse sampling seems an elegant one, although, there too, departure from normality in the simulated data can yield marginal moments or correlation structure which are different from the one given. Here too, would be nice to know if the approach can be made general, such that any type of multivariate distribution can be generated.
Thus, the second and generic question is
Q2) Does anyone know a method to draw from a multivariate distribution, only given the first four moments of each marginal distribution and overall correlation matrix, and such that both marginal moments and correlation matrix of the drawn data do match the ones given ?
Thank for any eventual help.