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MathGroup Archive 2004

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Re: Draws from Multivariate Normal Distribution

  • To: mathgroup at smc.vnet.net
  • Subject: [mg46680] Re: Draws from Multivariate Normal Distribution
  • From: bobhanlon at aol.com (Bob Hanlon)
  • Date: Sat, 28 Feb 2004 13:18:56 -0500 (EST)
  • References: <c1onse$3cm$1@smc.vnet.net>
  • Sender: owner-wri-mathgroup at wolfram.com

Needs["Statistics`MultinormalDistribution`"];

mu = {3, 5};
sigma={{1, .3}, {.3, 1}};

dist=MultinormalDistribution[mu, sigma];

draws=RandomArray[dist, {500}];

Show[Graphics[{Point /@ draws,
        Hue[1], EllipsoidQuantile[dist, .95]}], 
    Frame -> True];


Bob Hanlon

In article <c1onse$3cm$1 at smc.vnet.net>, Gregory Lypny
<gregory.lypny at videotron.ca> wrote:

<< Anyone know how to set up random draws from a multivariate normal 
distribution based on a given n x n covariance matrix?


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