Random orthogonal matrix (ROM) simulation is a very fast procedure for generating multivariate random samples that always have exactly the same mean, covariance and Mardia multivariate skewness and kurtosis. This paper investigates how the properties of parametric, data-specific and...

This paper introduces a method for simulating multivariate samples that have exact means, covariances, skewness and kurtosis. A new class of rectangular orthogonal matrices is fundamental to the methodology, and these "L-matrices'' can be deterministic, parametric or data specific in nature. The...