Wed Jan 15 18:37:00 GMT 2003
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
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