An Elegant Method for Generating Multivariate Poisson Random Variable

摘要

Generating multivariate Poisson data is essential in many applications.Current simulation methods suffer from limitations ranging from computationalcomplexity to restrictions on the structure of the correlation matrix. Wepropose a computationally efficient and conceptually appealing method forgenerating multivariate Poisson data. The method is based on simulatingmultivariate Normal data and converting them to achieve a specific correlationmatrix and Poisson rate vector. This allows for generating data that havepositive or negative correlations as well as different rates.