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multivariate gaussian distribution
- From: Emmanuel Benazera <ebenazer at email dot arc dot nasa dot gov>
- To: gsl-discuss at sources dot redhat dot com
- Date: Fri, 19 Dec 2003 11:52:49 -0800
- Subject: multivariate gaussian distribution
Hi,
I've written a few lines of code that implement a multivariate
gaussian distribution. The function takes the eigenvalues/vectors
decomposition of the covariance matrix as input, and outputs a
random vector. In dimension n, it proceeds to n gsl_ran_gaussian
calls, plus a blas level 2 product. It fits in the GSL framework.
I guess it may be useful to other GSL users. Should it be added
to the library ? I can provide the piece of code + doc + theoretical
reference.
Regards,
Emmanuel