This is the mail archive of the gsl-discuss@sources.redhat.com mailing list for the GSL project.


Index Nav: [Date Index] [Subject Index] [Author Index] [Thread Index]
Message Nav: [Date Prev] [Date Next] [Thread Prev] [Thread Next]
Other format: [Raw text]

Re: Multivariate Normal



Przemyslaw Sliwa wrote:

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.

OK. But if the components are of your multivariate normal are uncorrelated then they are independent. So just draw n normals...

Karsten


Thanks for help

Przem






Index Nav: [Date Index] [Subject Index] [Author Index] [Thread Index]
Message Nav: [Date Prev] [Date Next] [Thread Prev] [Thread Next]