Year 2004,
Volume: 17 Issue: 1, 37 - 47, 11.08.2010
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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Details
| Primary Language | English |
|---|---|
| Journal Section | Statistics |
| Authors | |
| Publication Date | August 11, 2010 |
| Published in Issue | Year 2004 Volume: 17 Issue: 1 |