Generating Multivariate Nonnormal Distribution Random Numbers Based on Copula Function

Abstract

Random numbers of multivariate nonnormal distribution are strongly requested by the area of theoretic research and application in practice. A new algorithm of generating multivariate nonnormal distribution random numbers is given based on the Copula function, and theoretic analysis suggests that the algorithm is suitable to be feasible. Furthermore, simulation shows that the empirical distribution which is formed by random numbers generating from the proposed algorithm can well approach the original distribution.