Multivariate Normal

Przemyslaw Sliwa sliwa@euv-frankfurt-o.de
Wed Jan 15 18:37:00 GMT 2003


Hi people,

I wanted to ask You how to simulate the multivariate normal distribution.
I need a vector X which is multivariate normally distributed with E(X)=0 and 
the I - matrix as a covariance. So the components of X are uncorrelated and 
have the variance equal one. I know that even if the components of X have 
marginal normal distribution the vector X can have a normal distribution 
which is different than the multivariate normal distribution.

Thanks for help

Przem




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