[Top][All Lists]

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

Re: [Help-gsl] Question to random number generation

From: Martin Jansche
Subject: Re: [Help-gsl] Question to random number generation
Date: Thu, 17 May 2007 14:23:07 -0400

On 5/17/07, Alexander Dietz <address@hidden> wrote:
I would like to draw
numbers from a multivariate Gaussian distribution, given a covariance
matrix. Is there such a function that can do this?

There is no such function in GSL, but all the ingredients are there.  See

for the general idea, and gsl_linalg_cholesky_decomp() for the
Cholesky decomposition.

-- mj

reply via email to

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