Multivariate random number generators

["Przemyslaw Sliwa" <przemyslaw dot sliwa at db dot com>]

Hi,

I have coded four random number generators for multivariate distributions.
They include:
   Multivariate (elliptical) t-distribution
   Multivariate generalized Laplace distribution,
   Multivariate skew-normal distribution
   Multivariate skew-t student distribution.

All distributions are expressed in terms of univariate distribution (normal, gamma and chi^2), so that no special inverse transformation or similar method is used. I have done it for my thesis  and thought it can be useful for others. If you are interested please let me know and I will code it using the GSL standards.

By the way: what is the problem to put the complete MS Visual build on the webpage?
I have managed to compile the library, it was straightforward to me but other people have lots of problems and this topic appears very often on the list.

Thanks,

Przem


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