A MULTIVARIATE NORMAL RANDOM VECTOR GENERATOR

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Gazi University Journal of Science
Volume:17 Issue:1
A MULTIVARIATE NORMAL RANDOM VECTOR GENERATOR

A MULTIVARIATE NORMAL RANDOM VECTOR GENERATOR

Authors : Mustafa Y ATA

Pages : 37-47

View : 14 | Download : 13

Publication Date : 2010-08-11

Article Type : Other Papers

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 ~ Ninsert ignore into journalissuearticles values( 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 MicrosoftInternetExplorer4
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