Patent ID: 7475102
Filing Date: 2009-01-06
Classification: G06F,G06Q

Abstract:
1. A method for generating random numbers on a computer in accordance with multivariate non-normal distributions based on the Yuan and Bentler method I, comprising: fitting, using a computer, n-dimensional multivariate non-normal distributions for n-dimensional empirical distributions; generating, using a computer, the random numbers including pseudo-random numbers by at least one of an additive generator method, an M-sequence method, a generalized feedback shift-register method, and a Mersenne Twister method, and excluding a congruential method, quasi-random numbers, low discrepancy sequences, and physical random numbers; wherein the fitting employs the following formulae (a) and (b) for an application with respect to third and fourth order moments of the empirical distributions: where E (•) is an expectation, vech (•) is a vector consisting of matrix elements not duplicated in symmetrical matrix, D wherein the Yuan and Bentler method I uses: independent random variables ξ a random variable ν independent from ξ a non-random n×m (m≦n) matrix T=(t where Cov (•) is a variance covariance matrix of a vector, and ξ=(ξ 1 , . . . , ξ m )′.