Re: [Boost-users] multivariate random variables

On Dec 17, 2010, at 1:07 AM, Stefano Gallo wrote:

Hi Folks,

I am new here. I would like to ask whether exist or not something which could help me. My problem is the following. I have a vector of mean values (size N) and a covariance matrix (size NxN). I would like to generate a vector of normal random variables.

Thanks for your help.

Stefano Gallo

Hi Stefano, We have a distribution for that which we wanted to contribute to Boost for a while but dit not get aorund to doing so yet. I'll attach it to this mail. Matthias