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MathGroup Archive 2004

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Re: Draws from Multivariate Normal Distribution

  • To: mathgroup at smc.vnet.net
  • Subject: [mg46683] Re: Draws from Multivariate Normal Distribution
  • From: "Hans Michel" <hansjm at bellsouth.net>
  • Date: Sat, 28 Feb 2004 13:18:59 -0500 (EST)
  • References: <c1onse$3cm$1@smc.vnet.net>
  • Reply-to: "Hans Michel" <hansjm at bellsouth.net>
  • Sender: owner-wri-mathgroup at wolfram.com

Hi:

Look into help under standard packages -> Statistics -> Multinormal
distribution
Load.

<<Statistics`MultinormalDistribution`

WishartDistribution[sigma, m]

sigma is covariance matrix and m degrees of freedom.

Good luck.


"Gregory Lypny" <gregory.lypny at videotron.ca> wrote in message
news:c1onse$3cm$1 at smc.vnet.net...
> Anyone know how to set up random draws from a multivariate normal
> distribution based on a given n x n covariance matrix?
>
> Greg
>


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