Sampling from a couple of positively correlated beta variates

Details Sampling from a couple of positively correlated beta variates Sampling from a couple of positively correlated beta variates

2002-09-09

arxiv.org/abs/math/0209090v1

Mathematics

Probability

Scientific paper

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.

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