Hi,
is there anybode out there who knows how to generate a sample from a
multivariate Weibull distrubution?
By a multivariate Weibull distribution, I mean the following
(X_1,X_2,...,X_m) are a set of m random variables
S_X_i(x_i)=exp(-lambda_i*x_i)
(marginal survival function for X_i)
S_{X_1,X_2,...,X_m}(x_1,x_2,...,x_m)=exp[-(sum_{i=1}^m
lambda_i*x_i^mu)^(1/mu)]
(joint survival function)
The question is: How to generate a random sample of (x_1,...,x_m) from
this distribution?
Thanks,
Francis Tuerlinckx.
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