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Algorithm 425: generation of random correlated normal variables [G5]

By Rex L. Hurst, Robert E. Knop

Communications of the ACM, Vol. 15 No. 5, Pages 355-357

We have programmed and made timing comparisons for two algorithms which sample the multivariate normal density N(&mgr;, V) = |V-1|/(2&pgr;)n/2·exp(- 1/2(Y - &mgr;)T V-1(Y - &mgr;)) (1) where V is an n X n covariance matrix, &mgr; is an n component vector of means, and Y is an n component random vector [1].

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