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Re: multivariate gaussian distribution (Code)


Hi Emmanuel (again),

What kind of multivariate distributions are you interested in?
Did you think of a specific family, some skewed densities, etc.

I am strongly interested in this topic, so probably we both can benefit
from that.

Regards,
Przem

> It is easy to implement the Cholesky method. I'll do it if
> people are interested.
>
> Once again though, the R statistical package
> (that is a well-known library) uses the eigenvalues decomposition:
> http://rweb.stat.umn.edu/R/library/MASS/html/mvrnorm.html
>
> Please take time to read the messages !
>
> Emmanuel




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