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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
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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
participants (2)
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Matthias Troyer
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Stefano Gallo