Multivariate distributions introduction

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Multivariate distributions describe several parameters whose values are probabilistically linked in some way. In most cases, we create the probabilistic links via one of several correlation methods. However, there are a few specific multivariate distributions that have specific, very useful purposes and are therefore worth studying more.

Multivariate distributions are inserted in the spreadsheet as array functions. For example, to insert random values from a Dirichlet distribution in the spreadsheet:

• Select 3 spreadsheet cells.

• Type =VoseDirichlet({1,2,3}) in the formula bar

• Press CTRL+SHIFT+ENTER

• Now the function is inserted as array function over the 3 selected cells (inserted by the {} around the formula) which now contain randomly sampled values from the Dirichlet distribution.

The multivariate distributions available in ModelRisk are:

• Dirichlet distribution

• Multinomial distribution

• Multivariate Hypergeometric distribution

• Multivariate Inverse Hypergeometric distribution type1

• Multivariate Inverse Hypergeometric distribution type2

• Multivariate Normal distribution

• Negative Multinomial distribution type 1

• Negative Multinomial distribution type 2