covsim: An R Package for Simulating Non-Normal Data for Structural Equation Models Using Copulas

covsim: An R Package for Simulating Non-Normal Data for Structural Equation Models Using Copulas

non-normal simulation, covariance model, vine copulas, ordinal covariance models,
R

In factor analysis and structural equation modeling non-normal data simulation is
traditionally performed by specifying univariate skewness and kurtosis together with the
target covariance matrix. However, this leaves little control over the univariate distributions and the multivariate copula of the simulated vector. In this paper we explain how
a more flexible simulation method called vine-to-anything (VITA) may be obtained from
copula-based techniques, as implemented in a new R package, covsim. VITA is based on
the concept of a regular vine, where bivariate copulas are coupled together into a full multivariate copula. We illustrate how to simulate continuous and ordinal data for covariance
modeling, and how to use the new package discnorm to test for underlying normality in
ordinal data. An introduction to copula and vine simulation is provided in the appendix.

Steffen Grønneberg

https://www.jstatsoft.org/article/view/v102i03

BI Norwegian Business
School

April 2022

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English

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