Generating gamma random field with given covariance matrix

Question

I have to generate multivariate gamma distributions with given positive-definite covariance matrix. Anyone can suggest me a method?

Thanks,

Chamberlain Mbah · Accepted Answer · 2014-05-20 20:02:51Z

1

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.

answered May 20, 2014 at 20:02

Chamberlain Mbah

8115 silver badges19 bronze badges

Add a comment |

Massimiliano Romana · Accepted Answer · 2021-04-09 10:00:59Z

0

This article, "Gamma random field simulation by a covariance matrix transformation method " (https://link.springer.com/article/10.1007%252Fs00477-010-0434-8), should help you.

answered Apr 9, 2021 at 10:00

336 bronze badges

1

$\begingroup$ Please add the reference of the paper in case the link dies in the future. Thanks! $\endgroup$
– Antoine
Apr 9, 2021 at 10:21
1

$\begingroup$ And if possible, provide a brief summary of how the paper is helpful here $\endgroup$
– Antoine
Apr 9, 2021 at 10:22

Add a comment |

2 Answers 2