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Multivariate random number generators
- From: "Przemyslaw Sliwa" <przemyslaw dot sliwa at db dot com>
- To: gsl-discuss at sources dot redhat dot com
- Date: Fri, 5 Mar 2004 11:09:14 +0000
- Subject: Multivariate random number generators
Hi,
I have coded four random number generators for multivariate distributions.
They include:
Multivariate (elliptical) t-distribution
Multivariate generalized Laplace distribution,
Multivariate skew-normal distribution
Multivariate skew-t student distribution.
All distributions are expressed in terms of univariate distribution (normal, gamma and chi^2), so that no special inverse transformation or similar method is used. I have done it for my thesis and thought it can be useful for others. If you are interested please let me know and I will code it using the GSL standards.
By the way: what is the problem to put the complete MS Visual build on the webpage?
I have managed to compile the library, it was straightforward to me but other people have lots of problems and this topic appears very often on the list.
Thanks,
Przem
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