Some Oddities regarding the Iman-Conover Method

The subsequent note provides an analysis with respect to some oddities regarding the Iman-Conover method. Specifically it will be demonstrated that the use of this method for the generation of multidimensional random variates with prescribed correlation structures (specifically correlations of -0.99, -0.5, 0, 0.5 and 0.99) may result in strange constellations in some instances. This shall be investigated visually (with regard to two dimensions respectively) for the following six types of distributions: oPoisson oNormal ot oUniform oLaplace oGamma The Iman-Conover results will be compared to "plausible" multidimensional distributions, generated by dedicated functions for the respective distribution types. After a brief introduction of the Iman-Conover method, the results of the analysis will be addressed. Finally the generated R code - for the purpose of this investigation - will be presented.