Sampling from a couple of positively correlated beta variates
Probability
2007-05-23 v1
Abstract
We know that the marginals in a Dirichlet distribution are beta variates exhibiting a negative correlation. But we can construct two linear combinations of such marginals in such a way to obtain a positive correlation. We discuss the restrictions that are to be imposed on the parameters to accomplish such a result. In the case the sampling from the Dirichlet distribution is performed through a generalization of Johnk's method we discuss the efficiency of the algorithm implementing the method.
Keywords
Cite
@article{arxiv.math/0209090,
title = {Sampling from a couple of positively correlated beta variates},
author = {Mario Catalani},
journal= {arXiv preprint arXiv:math/0209090},
year = {2007}
}