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Author Topic: Generating vectors of random numbers from a multivariate Gaussian prob. distrib.  (Read 1071 times)

Relativity

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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.
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wp

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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;

 

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