Multivariate random number generators

Rodney Sparapani rsparapa@post.its.mcw.edu
Fri Mar 5 14:26:00 GMT 2004


>Hi,
>
>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 
standards.

>Przem
>

Przem:

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
rsparapa@mcw.edu              http://www.mcw.edu/pcor
Was 'Name That Tune' rigged?  WWLD -- What Would Lombardi Do



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