A multivariate normal random vector generator

Çok-değişkenli normal rassal bir yöneyin üretimi için açık bir yordam verildi. CHOLESKY yöntemi ile $Sigma$ kovaryans dizeyinden ayrıştırılmış L alt üçgen dizeyini kullanan üretecin algoritması, elemanları Box-Muller yöntemi ile elde edilen p-boyutlu standart normal z değişkeninin, $Xsim N(mu,Sigma)$ dağılımından p-boyutlu rassal bir x=$Lz+mu$ örneğine dönüştürülmesinden oluşmaktadır. Önerilen yordamın etkinliği, üretecin oldukça yüksek bir güvenirliği olduğunu gösteren bir Monte Carlo sınama ile sergilenmiştir.

Çok-değişkenli normal rassal bir yöney üretici

An explicit procedure for generating multivariate normal random vector is presented. Using a lower triangular matrix L decomposed from the covariance matrix $Sigma$ by the CHOLESKY method, the algorithm of the generator consists of the transformation of a p-dimensional standard normal variate z, elements of which are obtained by the Box-Muller procedure, into a p-dimensional normal random sample x=$Lz+mu$ from the distribution $Xsim N(mu,Sigma)$. The efficiency of the proposed procedure is exhibited by a Monte Carlo test of the algorithm which showed that the generator is highly reliable.

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