I have to generate multivariate gamma distributions with given positive-definite covariance matrix. Anyone can suggest me a method?
Thanks,
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Sign up to join this communityI have to generate multivariate gamma distributions with given positive-definite covariance matrix. Anyone can suggest me a method?
Thanks,
library(clusterGeneration)
genPositiveDefMat(dim,...) #Where dim is the dimension of the matrix, explore the #function
You can now use any package that will generate a multivariate gamma in R using the positive definite matrix above.