covsim

Random sampling from distributions with user-specified population covariance matrix. Marginal information may be fully specified, for which the package implements the VITA (VIne-To-Anything) algorithm Grønneberg and Foldnes (2017) doi:10.1007/s11336-017-9569-6. See also Grønneberg, Foldnes and Marcoulides (2022) doi:10.18637/jss.v102.i03. Alternatively, marginal skewness and kurtosis may be specified, for which the package implements the IG (independent generator) and PLSIM (piecewise linear) algorithms, see Foldnes and Olsson (2016) doi:10.1080/00273171.2015.1133274 and Foldnes and Grønneberg (2021) doi:10.1080/10705511.2021.1949323, respectively.

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