Multivariate random number generators

[Brian Gough]

Przemyslaw Sliwa writes:
 > 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.

Note: Check with your employer that you are allowed to release your
own software under the GPL -- unfortunately many banks are quite
strict about not allowing their employees to do that.

 > By the way: what is the problem to put the complete MS Visual build
 > on the webpage?  I have managed to compile the library, it was
 > straightforward to me but other people have lots of problems and
 > this topic appears very often on the list.

My tolerance for dealing with Microsoft Windows and Microsoft Visual
C++ has been completely used up.  Clint Whaley, the author of ATLAS,
describes the phenomenon on his site:
  http://math-atlas.sourceforge.net/faq.html#utone
 
-- 
Brian Gough