A MULTIVARIATE NORMAL RANDOM VECTOR GENERATOR
Authors : Mustafa Y Ata
Pages : 37-47
View : 10 | Download : 5
Publication Date : 2010-08-11
Article Type : Other
Abstract :An explicit procedure for generating multivariate normal random vector is presented. Using a lower triangular matrix L decomposed from the convariance matrix Σ by the CHOLESKY method, the algorithm of the generator consists of the transformation of a p-dimensional Standard normal variate z , elements of which are obtained by the Box-Muller procedure, into a p-dimensional normal random sample x=Lz+ Σ m from the distribution X ~ N( m ,Σ). The efficiency of the proposed procedure is exhibited by a Monte Carlo test of the algorithm which showed that the generator is highly reliable Key Words: Multivariate random vector generation, Cholesky, decomposition, Monte Carlo simulation Normal 0 21 false false false TR X-NONE X-NONE MicrosoftInternetExplorer4Keywords :