Dear statalisters,
I want to simulate five random variables with known
variance-covariance matrix. I know that if the joint
pdf is multivariate normal one can use the drawnorm
command or the "multiplication with the
cholesky(var-cov)" trick as described in Stata's site
FAQs. I have used the same principle to draw samples
from other multivariate distributions e.g.
multivariate t (I think it works there too). I thought
I could do the same with "mixed" multivariate
distributions e.g. normal for the first 4 variables
and some other skewed distribution for the fifth (i.e.
Gumbel) but I am afraid that it doesn't work.
What i am trying to do is a sensitivity analysis on
violations of the multivariate normality assumption of
some model thus I want to see what's happening when
only one of the five variables is not normal but is
stil correlated with the other four.
I hope that I made it clear. Sorry for the somehow
off-topic question but I think that some knoledgeable
members of the list could help.
Nikos Pantazis
Biostatistician
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