public virtual double[] NextMultivariateNormal(
	Cholesky matrix
)

Public Overridable Function NextMultivariateNormal ( 
	matrix As Cholesky
) As Double()

public:
virtual array<double>^ NextMultivariateNormal(
	Cholesky^ matrix
)

abstract NextMultivariateNormal : 
        matrix : Cholesky -> float[] 
override NextMultivariateNormal : 
        matrix : Cholesky -> float[] 

Parameters

matrix

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

Return Value

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.

Reference

Other Resources