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Re: multivariate gaussian distribution (Code)
- From: Emmanuel Benazera <ebenazer at email dot arc dot nasa dot gov>
- To: sliwa at euv-frankfurt-o dot de
- Cc: gsl-discuss at sources dot redhat dot com
- Date: Mon, 29 Dec 2003 15:35:00 -0800
- Subject: Re: multivariate gaussian distribution (Code)
It is easy to implement the Cholesky method. I'll do it if
people are interested.
Once again though, the R statistical package
(that is a well-known library) uses the eigenvalues decomposition:
http://rweb.stat.umn.edu/R/library/MASS/html/mvrnorm.html
Please take time to read the messages !
Emmanuel