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Re: Multivariate random number generators
- From: Brian Gough <bjg at network-theory dot co dot uk>
- To: "Przemyslaw Sliwa" <przemyslaw dot sliwa at db dot com>
- Cc: gsl-discuss at sources dot redhat dot com
- Date: Fri, 5 Mar 2004 18:57:09 +0000
- Subject: Re: Multivariate random number generators
- References: <OF23F7726C.C353EBF6-ON80256E4E.003C73BC@db.com>
Przemyslaw Sliwa writes:
> 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.
Note: Check with your employer that you are allowed to release your
own software under the GPL -- unfortunately many banks are quite
strict about not allowing their employees to do that.
> 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.
My tolerance for dealing with Microsoft Windows and Microsoft Visual
C++ has been completely used up. Clint Whaley, the author of ATLAS,
describes the phenomenon on his site:
http://math-atlas.sourceforge.net/faq.html#utone
--
Brian Gough