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Further properties of random orthogonal matrix simulation

journal contribution
posted on 2023-06-08, 12:23 authored by Daniel Ledermann, Carol AlexanderCarol Alexander
Random orthogonal matrix (ROM) simulation is a very fast procedure for generating multivariate random samples that always have exactly the same mean, covariance and Mardia multivariate skewness and kurtosis. This paper investigates how the properties of parametric, data-specific and deterministic ROM simulations are influenced by the choice of orthogonal matrix. Specifically, we consider how cyclic and general permutation matrices alter their time-series properties, and how three classes of rotation matrices – upper Hessenberg, Cayley, and exponential – influence both the unconditional moments of the marginal distributions and the behaviour of skewness when samples are concatenated. We also perform an experiment which demonstrates that parametric ROM simulation can be hundreds of times faster than equivalent Monte Carlo simulation.

History

Publication status

  • Published

Journal

Mathematics and Computers in Simulation

ISSN

0378-4754

Publisher

Elsevier

Volume

83

Page range

56-79

Department affiliated with

  • Business and Management Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-09-11

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