Multivariate random number generators

Rodney Sparapani
Fri Mar 5 14:26:00 GMT 2004

>I have coded four random number generators for multivariate distributions.
>They include:
>   Multivariate (elliptical) t-distribution
>   Multivariate generalized Laplace distribution,
>   Multivariate skew-normal distribution
>   Multivariate skew-t student distribution.
>All distributions are expressed in terms of univariate distribution (normal, 
gamma and chi^2), so that no special inverse transformation or similar method is 
used. I have done it for my thesis  and thought it can be useful for others. If 
you are interested please let me know and I will code it using the GSL 



I would love to see it in GSL.  Let me know if I can help.

Rodney Sparapani              Medical College of Wisconsin
Sr. Biostatistician           Patient Care & Outcomes Research    
Was 'Name That Tune' rigged?  WWLD -- What Would Lombardi Do

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