Generate pseudorandom numbers from a multivariate normal distribution.

Namespace: Imsl.Stat
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.0.0

Syntax

C#
public virtual double[] NextMultivariateNormal(
	Cholesky matrix
)
Visual Basic (Declaration)
Public Overridable Function NextMultivariateNormal ( _
	matrix As Cholesky _
) As Double()
Visual C++
public:
virtual array<double>^ NextMultivariateNormal(
	Cholesky^ matrix
)

Parameters

matrix
Type: Imsl.Math..::.Cholesky
The Cholesky factorization of the variance-covariance matrix of order k.

Return Value

A double array which contains the pseudorandom numbers from a multivariate normal distribution.

Remarks

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.

See Also