Re: Multivariate Normal Distribution

On Sep 22, 5:30 pm, "Jimmy Bozikis" <dimi...@xxxxxxxxxxx> wrote:
Hi to all of u!
I want to simulate a multivariate normal distribution using
matlab!
Could someone help me on how to do that?

I think I just answered this question on this newsgroup a
day or two ago.

At any rate, the answer is to use the Cholesky decomposition.

Suppose you want N samples of multivariate m-vectors
with m x m covariance matrix C.

X = randn(N, m);
R = chol(C);
Y = C*X;

The matrix Y is multivariate normal, zero mean, covariance C.

- Randy

.

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