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Covariance Model Simulation Using Regular Vines
Steffen Grønneberg1, Njål Foldnes2
1Department of Economics, BI Norwegian Business School, 0484, Oslo, Norway.
Abstract:
We propose a new and flexible simulation method for non-normal data with user-specified marginal distributions, covariance matrix and certain bivariate dependencies. The VITA (VIne To Anything) method is based on regular vines and generalizes the NORTA (NORmal To Anything) method. Fundamental theoretical properties of the VITA method are deduced. Two illustrations demonstrate the flexibility and usefulness of VITA in the context of structural equation models. R code for the implementation is provided.
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