JMASM35: A Percentile-Based Power Method: Simulating Multivariate Non-normal Continuous Distributions (SAS)

Abstract

The conventional power method transformation is a moment-matching technique that simulates non-normal distributions with controlled measures of skew and kurtosis. The percentile-based power method is an alternative that uses the percentiles of a distribution in lieu of moments. This article presents a SAS/IML macro that implements the percentile-based power method.