Quotation Mair, Patrick, Satorra, Albert, Bentler, Peter M.. 2011. A Copula Approach to Generate Non-Normal Multivariate Data for SEM. Research Report Series, Institute for Statistics and Mathematics, Report Nr. 108.


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Abstract

The present paper develops a procedure based on multivariate copulas for simulating multivariate non-normal data that satisfies a pre-specified covariance matrix. The covariance matrix used, can comply with a specific moment structure form (e.g., a factor analysis or a general SEM model). So the method is particularly useful for Monte Carlo evaluation of SEM models in the context of non-normal data. The new procedure for non-normal data simulation is theoretically described and also implemented on the widely used R environment. The quality of the method is assessed by performing Monte Carlo simulations. Within this context a one-sample test on the observed VC-matrix is involved. This test is robust against normality violations. This test is defined through a particular SEM setting. Finally, an example for Monte Carlo evaluation of SEM modeling of non-normal data using this method is presented.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Working/discussion paper, preprint
Language English
Title A Copula Approach to Generate Non-Normal Multivariate Data for SEM
Title of whole publication Research Report Series, Institute for Statistics and Mathematics, Report Nr. 108
Year 2011
URL http://epub.wu.ac.at/3122/

Associations

People
Mair, Patrick (Former researcher)
External
Bentler, Peter M.
Satorra, Albert
Organization
Institute for Statistics and Mathematics IN (Details)
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