Generate pseudorandom numbers from a multivariate normal distribution.
int
which specifies the length of the multivariate normal vectors. Cholesky
factorization of the variance-covariance matrix of order k. A double
array which contains the pseudorandom numbers from a multivariate normal distribution.
NextMultivariateNormal
generates pseudorandom numbers from a multivariate normal distribution with mean vector consisting of all zeroes and variance-covariance matrix whose Cholesky factor (or "square root") is matrix
; that is, matrix
is an upper triangular matrix such that the transpose of matrix
times matrix
is the variance-covariance matrix. First, independent random normal deviates with mean 0 and variance 1 are generated, and then the matrix containing these deviates is post-multiplied by matrix
.
Deviates from a multivariate normal distribution with means other than zero can be generated by using NextMultivariateNormal
and then by adding the means to the deviates.
Random Class | Imsl.Stat Namespace | Example