Algorithm 425: generation of random correlated normal variables [G5]

Authors:
Rex L. Hurst;Robert E. Knop
Affiliations:
Utah State Univ., Logan;Florida State Univ., Tallahassee
Venue:
Communications of the ACM
Year:
1972

Citing 9
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The art of computer programming, volume 2 (3rd ed.): seminumerical algorithms

The art of computer programming, volume 2 (3rd ed.): seminumerical algorithms
Algorithm 384: eigenvalues and eigenvectors of a real symmetric matrix

Communications of the ACM
Remark on algorithm 334 [G5]: normal random deviates

Communications of the ACM
Uniform random

Communications of the ACM
Algorithm 334: Normal random deviates

Communications of the ACM
A fast random number generator for IBM 360

Communications of the ACM
Algorithm 85: Jacobi

Communications of the ACM
Certification of algorithm 85: Jacobi

Communications of the ACM
Certification of Algorithm 85: Jacobi

Communications of the ACM

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Abstract

We have programmed and made timing comparisons for two algorithms which sample the multivariate normal density N(&mgr;, V) = |V-1|/(2&pgr;)n/2·exp(- 1/2(Y - &mgr;)T V-1(Y - &mgr;)) (1) where V is an n X n covariance matrix, &mgr; is an n component vector of means, and Y is an n component random vector [1].