Recent

Author Topic: Generating vectors of random numbers from a multivariate Gaussian prob. distrib.  (Read 322 times)

Relativity

  • Jr. Member
  • **
  • Posts: 96
I wanted to ask if anybody knows a mathematics package offering generation of vectors of random numbers from a multivariate Gaussian probability distribution given the mean vector and the covariance matrix.

Thanks in any case.
"How'm I gonna get through?"
  -- Pet Shop Boys

wp

  • Hero Member
  • *****
  • Posts: 6368
I wanted to ask if anybody knows a mathematics package offering generation of vectors of random numbers from a multivariate Gaussian probability distribution given the mean vector and the covariance matrix.
As for the Gaussian distribution: in unit Math, there is a function
Code: Pascal  [Select]
  1. { returns random values with gaussian distribution }
  2. function randg(mean,stddev : float) : float;
Lazarus trunk / fpc 3.0.4 / all 32-bit on Win-10