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Multivariate Normal
- From: Przemyslaw Sliwa <sliwa at euv-frankfurt-o dot de>
- To: gsl-discuss at sources dot redhat dot com
- Date: Wed, 15 Jan 2003 19:37:14 +0100
- Subject: Multivariate Normal
- Organization: Viadrina
- Reply-to: sliwa at euv-frankfurt-o dot de
Hi people,
I wanted to ask You how to simulate the multivariate normal distribution.
I need a vector X which is multivariate normally distributed with E(X)=0 and
the I - matrix as a covariance. So the components of X are uncorrelated and
have the variance equal one. I know that even if the components of X have
marginal normal distribution the vector X can have a normal distribution
which is different than the multivariate normal distribution.
Thanks for help
Przem