A Note on Simulation of Samples of Gamma‐Autoregressive Variables Article

Obeysekera, JTB, Yevjevich, V. (1985). A Note on Simulation of Samples of Gamma‐Autoregressive Variables . WATER RESOURCES RESEARCH, 21(10), 1569-1572. 10.1029/WR021i010p01569

cited authors

  • Obeysekera, JTB; Yevjevich, V

authors

abstract

  • A procedure for generation of samples of an autoregressive scheme that has an exact gamma marginal distribution with given mean, variance, and skewhess is reported. Some characteristics of the commonly used Wilson‐Hilferty transformations are discussed. The modified Wilson‐Hilferty transformation is shown to have a mixed distribution with a nonnegligible probability mass at its lower bound. For high skewhess within the limits of its suggested applicability the probability mass can be large, with the probability density function of the modified Wilson‐Hilferty variate significantly deviating from the corresponding gamma distribution it is intended to approximate. Copyright 1985 by the American Geophysical Union.

publication date

  • January 1, 1985

published in

Digital Object Identifier (DOI)

start page

  • 1569

end page

  • 1572

volume

  • 21

issue

  • 10