On 2/20/06, Ralph Silva <[EMAIL PROTECTED]> wrote: > does anyone has codes for Multivariate Normal and Wishart distributions - > including the random numbers - using GSL?
For multivariate normal variates, you can do the following: compute the Cholesky decomposition of the covariance matrix Sigma and call it B; generate a vector Z of iid standard normal variates; let X = m + B Z, where m is the mean vector. Then X has a multivariate normal distribution with mean m and covariance matrix Sigma. You can then use draws from the multivariate normal distribution to generate draws from the Wishart distribution; see the appendix of Gelman, Carlin, Stern and Rubin. Regards, -- mj _______________________________________________ Help-gsl mailing list [email protected] http://lists.gnu.org/mailman/listinfo/help-gsl
