[Top][All Lists]

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

[Help-gsl] Question to random number generation

From: Alexander Dietz
Subject: [Help-gsl] Question to random number generation
Date: Thu, 17 May 2007 16:47:53 +0100


I am using gls the first time and I would like to generate random numbers.
From the documentation I can see that I draw number from a Gaussian
distribution and a bivariate Gaussian distribution, but I would like to draw
numbers from a multivariate Gaussian distribution, given a covariance
matrix. Is there such a function that can do this? Or does someone coded up
a function that uses the Cholesky decomposition to do this? That would help
me a lot.


reply via email to

[Prev in Thread] Current Thread [Next in Thread]