Algorithm 425: generation of random correlated normal variables [G5]

Abstract

We have programmed and made timing comparisons for two algorithms which sample the multivariate normal density N ( μ , V ) = | V -1 |/(2π) n /2 · exp (- 1/2( Y - μ ) T V -1 ( Y - μ )) (1) where V is an n X n covariance matrix, μ is an n component vector of means, and Y is an n component random vector [1].