This is the mail archive of the
gsl-discuss@sources.redhat.com
mailing list for the GSL project.
Multivariate lognormal distribution
- From: Przemyslaw Sliwa <sliwa at euv-frankfurt-o dot de>
- To: <gsl-discuss at sources dot redhat dot com>
- Date: Sat, 1 Mar 2003 21:51:51 +0100 (MET)
- Subject: Multivariate lognormal distribution
Hi folks,
I have a slight problem. I must simulate a multivariate lognormal
distribution with a given covariance matrix C. What should I do.
My idea was first to simulate the multivariate normal distribution, say X
and then take a new vector Y=exp(X), which has then the multivariate
lognormal distribution with the covariance matrix C.
Is my idea correct?
And does anybody know, how to estimate the covariance C_hat with a given
set of observations (lognormally distributed)?
Thanks for help,
Przem