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Re: Multivariate random number generators
- From: Rodney Sparapani <rsparapa at post dot its dot mcw dot edu>
- To: przemyslaw dot sliwa at db dot com
- Cc: gsl-discuss at sources dot redhat dot com
- Date: Fri, 5 Mar 2004 08:26:23 -0600 (CST)
- Subject: Re: Multivariate random number generators
- Reply-to: Rodney Sparapani <rsparapa at post dot its dot mcw dot edu>
>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.
>Przem
>
Przem:
I would love to see it in GSL. Let me know if I can help.
Rodney Sparapani Medical College of Wisconsin
Sr. Biostatistician Patient Care & Outcomes Research
rsparapa@mcw.edu http://www.mcw.edu/pcor
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