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?