Research Article

A Method for Simulating Nonnormal Distributions with Specified L-Skew, L-Kurtosis, and L-Correlation

Algorithm 1

Mathematica source code for computing intermediate correlations for specified -correlations. The example is for distribution towards distribution ( ) in Figure 4 (Panels 4(a) and 4(b)). See also Table 3(a).
(*Intermediate Correlation*)
;
Needs[“MultivariateStatistics’”]
PDF[MultinormalDistribution[ ], ];
DF[NormalDistribution[ ], ];
DF[NormalDistribution[ ], ];
(*Parameters for Distribution 4(a) in Figure 4 )
;
;
og[ /( )];
;
;
(* Standardizing constants from (3.13) and from (4.12)*)
;
;
(*Compute the specified -correlation*)
NIntegrate[Piecewise[ ] , ,
, Method MultiDimensional]
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