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I tried to fit three variables using the non-parametric method(kernel smooth), and those distribution for each of three variables are different, so cholesky descomposition won´t work for replicate the correlation calculated by the historical data when i´m trying to make a simulation. And I need a way to simulate these variables which meets follow requirements:

  1. Each simulated variable should still follow it´s fitted non parametric distribution.

  2. Correlation should be replicated.

Anyone has an idea? I´ll apreciate.

Zhe

Zhe
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  • Please see the hits at [this search](https://stats.stackexchange.com/search?q=copula+simulat*+correl*+answers%3A1). – whuber May 24 '19 at 12:26
  • Hi Whuber,I just read these 2 questions posted by you which you think similar to mine, and I think no answers were about simulation for several differente non-parametric simulation. In the first one you posted,there´s no distribution limit and the second is about 2 normal distribution variable simulation. Neither will work for me, please review my question, Thanks a lot – Zhe May 27 '19 at 10:56
  • Please, then, edit your post to clarify what you are looking for: that will help distinguish your problem from the apparently related ones. – whuber May 27 '19 at 10:59
  • Hi, I think the need of replicating fitted non parametric distribution has been clarified to distinguish from others correlation problems. – Zhe May 27 '19 at 11:19
  • If that's really your question, then you can find answers at https://stats.stackexchange.com/search?q=generate+kernel+density+random. – whuber May 27 '19 at 11:22
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    Look, I´v edited my question, which clarifies 2 needs,the first is simulate non parametric distribution variables and the second is to correlate these simulated variables. I think what you just posted meets the first need and you had posted before explains how to correlate normal distribution variables,but not for correlating non parametric distribution variables – Zhe May 27 '19 at 11:40
  • Should i make more modification to unlock the "Duplicated"? – Zhe May 28 '19 at 11:37
  • Because all the essential components of your question appear to have been addressed in other threads, it would help to articulate where you are looking for help in assembling the solutions. – whuber May 28 '19 at 12:31
  • Understand,I will try to improve my questions – Zhe May 29 '19 at 14:20

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