[ObsoleteAttribute("This is a deprecated method. use NextMultivariateNormal(Cholesky matrix)")]
public virtual double[] NextMultivariateNormal(
	int k,
	Cholesky matrix
)

<ObsoleteAttribute("This is a deprecated method. use NextMultivariateNormal(Cholesky matrix)")>
Public Overridable Function NextMultivariateNormal ( 
	k As Integer,
	matrix As Cholesky
) As Double()

public:
[ObsoleteAttribute(L"This is a deprecated method. use NextMultivariateNormal(Cholesky matrix)")]
virtual array<double>^ NextMultivariateNormal(
	int k, 
	Cholesky^ matrix
)

[<ObsoleteAttribute("This is a deprecated method. use NextMultivariateNormal(Cholesky matrix)")>]
abstract NextMultivariateNormal : 
        k : int * 
        matrix : Cholesky -> float[] 
[<ObsoleteAttribute("This is a deprecated method. use NextMultivariateNormal(Cholesky matrix)")>]
override NextMultivariateNormal : 
        k : int * 
        matrix : Cholesky -> float[] 

Parameters

k

Type: SystemInt32
An int which specifies the length of the multivariate normal vectors.

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