Creating Rank-Correlated Triangular Variates

4 Pages Posted: 25 Sep 2010

Date Written: September 24, 2010

Abstract

I describe how to generate triangular variates with R, and how to induce rank correlation.

Keywords: R, rank correlation, stochastic simulation, triangular distribution

JEL Classification: C15, C16, C63

Suggested Citation

Schumann, Enrico, Creating Rank-Correlated Triangular Variates (September 24, 2010). Available at SSRN: https://ssrn.com/abstract=1681917 or http://dx.doi.org/10.2139/ssrn.1681917

Enrico Schumann (Contact Author)

Independent ( email )

No Address Available

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