Simulate Joint Distribution

Simulate multivariate correlated data given nonparametric marginals and their covariance structure characterized by a Pearson or Spearman correlation matrix. The simulator engages the problem from a purely computational perspective. It assumes no statistical models such as copulas or parametric distributions, and can approximate the target correlations regardless of theoretical feasibility. The algorithm integrates and advances the Iman-Conover (1982) approach and the Ruscio-Kaczetow iteration (2008) . Package functions are carefully implemented in C++ for squeezing computing speed, suitable for large input in a manycore environment. Precision of the approximation and computing speed both outperform various CRAN packages to date by substantial margins. Benchmarks are detailed in function examples. A simple heuristic algorithm is additionally designed to optimize the joint distribution in the post-simulation stage. This heuristic demonstrated not only strong capability of cost reduction, but also good potential of achieving the same level of precision of approximation without the enhanced Iman-Conover-Ruscio-Kaczetow.


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install.packages("SimJoint")

0.2.2 by Charlie Wusuo Liu, 3 months ago


Browse source code at https://github.com/cran/SimJoint


Authors: Charlie Wusuo Liu


Documentation:   PDF Manual  


GPL-3 license


Imports Rcpp, RcppParallel

Suggests R.rsp

Linking to Rcpp, RcppParallel, RcppArmadillo

System requirements: GNU make


See at CRAN