Cover: On the generation of normal random vectors.

On the generation of normal random vectors.

Published 1960

by Ernest M. Scheuer

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A discussion of two methods for generating random vectors from a multivariate normal population with a specified variance-covariance matrix. The generation of normal random vectors with given covariance matrix <> is best accomplished by the method based on matrix equations. The method based on conditional distributions may be economical in some special instances, but otherwise will usually be inferior to the matrix equation method.

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