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Re: [Help-gsl] MVN and Wishart - gsl_ran_

From: Martin Jansche
Subject: Re: [Help-gsl] MVN and Wishart - gsl_ran_
Date: Fri, 17 Mar 2006 14:07:00 -0500

On 2/20/06, Ralph Silva <address@hidden> wrote:
> does anyone has codes for Multivariate Normal and Wishart distributions -
> including the random numbers - using GSL?

For multivariate normal variates, you can do the following: compute
the Cholesky decomposition of the covariance matrix Sigma and call it
B; generate a vector Z of iid standard normal variates; let X = m + B
Z, where m is the mean vector. Then X has a multivariate normal
distribution with mean m and covariance matrix Sigma.

You can then use draws from the multivariate normal distribution to
generate draws from the Wishart distribution; see the appendix of
Gelman, Carlin, Stern and Rubin.

-- mj

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