Hi:

One form of a multivariate beta distribution is the Dirichlet, so using
package sos,

library(sos)       # install if necessary
u <- findFn('Dirichlet distribution')
grepFn('Dirichlet distribution', u, column = 'Description', ignore.case =
TRUE)

reveals about 25 matches, about half of which lead somewhere useful. Of
course, there are several forms of the multivariate Beta so this may not be
what you need.

While Googling 'multivariate gamma' (a good idea, BTW, as there seem to be
several useful papers that might bear on this problem), I ran across the
following paper that may be of help:
http://smu.edu/statistics/TechReports/AbuRnpaper.pdf

They mention using S-PLUS functions to demonstrate simulations from
multivariate Beta and Gamma distributions, but don't show the code in the
paper. Perhaps you could contact the authors and see if you can gain access
to their code. Usually, S-PLUS code can be used in R. It's probable that you
will need to do some tweaking, but it appears that something is out there to
deal with the problem, at least...

HTH,
Dennis

On Fri, Aug 27, 2010 at 7:42 AM, Rofizah Mohammad <rofizah@gmail.com> wrote:

> Hi,
>
> How can I generate data from multivariate gamma distribution & multivariate
> beta distribution?
> I only found command for multivariate normal only.
> Many thanks in advance :)
>
> Regards
> Rofizah
>
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