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Re: Multivariate Normal
- From: Karsten Howes <karsten at videotron dot ca>
- To: sliwa at euv-frankfurt-o dot de
- Cc: gsl-discuss at sources dot redhat dot com
- Date: Wed, 15 Jan 2003 14:37:42 -0500
- Subject: Re: Multivariate Normal
- References: <RQPK63SORNUOA03WKISRY6NJBAOJB8.3e25aa5a@GRADU>
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