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A MULTIVARIATE NORMAL RANDOM VECTOR GENERATOR

Year 2004, Volume: 17 Issue: 1, 37 - 47, 11.08.2010

Mustafa Y Ata

https://izlik.org/JA39EY45TC

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+Σm 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

Keywords

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Year 2004, Volume: 17 Issue: 1, 37 - 47, 11.08.2010

Mustafa Y Ata

https://izlik.org/JA39EY45TC

Abstract

There are 0 citations in total.

Details

Primary Language English
Authors

Mustafa Y Ata This is me

Publication Date August 11, 2010
IZ https://izlik.org/JA39EY45TC
Published in Issue Year 2004 Volume: 17 Issue: 1

Cite

APA Ata, M. Y. (2010). A MULTIVARIATE NORMAL RANDOM VECTOR GENERATOR. Gazi University Journal of Science, 17(1), 37-47. https://izlik.org/JA39EY45TC
AMA 1.Ata MY. A MULTIVARIATE NORMAL RANDOM VECTOR GENERATOR. Gazi University Journal of Science. 2010;17(1):37-47. https://izlik.org/JA39EY45TC
Chicago Ata, Mustafa Y. 2010. “A MULTIVARIATE NORMAL RANDOM VECTOR GENERATOR”. Gazi University Journal of Science 17 (1): 37-47. https://izlik.org/JA39EY45TC.
EndNote Ata MY (August 1, 2010) A MULTIVARIATE NORMAL RANDOM VECTOR GENERATOR. Gazi University Journal of Science 17 1 37–47.
IEEE [1]M. Y. Ata, “A MULTIVARIATE NORMAL RANDOM VECTOR GENERATOR”, Gazi University Journal of Science, vol. 17, no. 1, pp. 37–47, Aug. 2010, [Online]. Available: https://izlik.org/JA39EY45TC
ISNAD Ata, Mustafa Y. “A MULTIVARIATE NORMAL RANDOM VECTOR GENERATOR”. Gazi University Journal of Science 17/1 (August 1, 2010): 37-47. https://izlik.org/JA39EY45TC.
JAMA 1.Ata MY. A MULTIVARIATE NORMAL RANDOM VECTOR GENERATOR. Gazi University Journal of Science. 2010;17:37–47.
MLA Ata, Mustafa Y. “A MULTIVARIATE NORMAL RANDOM VECTOR GENERATOR”. Gazi University Journal of Science, vol. 17, no. 1, Aug. 2010, pp. 37-47, https://izlik.org/JA39EY45TC.
Vancouver 1.Mustafa Y Ata. A MULTIVARIATE NORMAL RANDOM VECTOR GENERATOR. Gazi University Journal of Science [Internet]. 2010 Aug. 1;17(1):37-4. Available from: https://izlik.org/JA39EY45TC