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Covariance Model Simulation Using Regular Vines

Published online by Cambridge University Press:  01 January 2025

Steffen Grønneberg  and
Njål Foldnes
Steffen Grønneberg
Affiliation:
BI Norwegian Business School
Njål Foldnes*
Affiliation:
BI Norwegian Business School
*
Correspondence should be made to Njål Foldnes, Department of Economics, BI Norwegian Business School, 4014 Stavanger, Norway. Email: njal.foldnes@bi.no
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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.

Keywords

multivariate simulationnon-normalitystructural equation modelingregular vines
Type
Original Paper
Information
Psychometrika , Volume 82 , Issue 4 , December 2017 , pp. 1035 - 1051
Copyright
Copyright © 2017 The Psychometric Society

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Footnotes

Electronic supplementary material The online version of this article (doi:10.1007/s11336-017-9569-6) contains supplementary material, which is available to authorized users.

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