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

Table 5

Cholesky decompositions for the L-moment procedure.

(a)

𝑎11=1	𝑎12=0.678043	𝑎13=0.678043	𝑎14=0.835100
0	𝑎22=0.735022	𝑎23=0.309694	𝑎24=0.164812
0	0	𝑎33=0.666594	𝑎34=0.092412
0	0	0	𝑎44=0.516629

(b)

𝑎11=1	𝑎12=0.380048	𝑎13=0.477524	𝑎14=0.576716
0	𝑎22=0.924967	𝑎23=0.223745	𝑎24=0.289548
0	0	𝑎33=0.849652	𝑎34=0.048058
0	0	0	𝑎44=0.762398