Re: Multivariate pdf of a normal distribution

[Mike Miller]

On Sat, 5 Nov 2005, Prasenjit Kapat wrote:

> > I don't know for sure that inv(r') == inv(r)' for r upper triangular.
>
> Analytically it is, but numerically need not be, as Paul rightly showed. 
> Now while on this multivariate normal issue, how about generating 
> multivariate normal random variables, given the mean and the sigma 
> matrix ? any available/easily-writable code ?


I found this recently:

http://www.gatsby.ucl.ac.uk/~iam23/code/mvnrnd.m

It is under the GPL:

http://www.gatsby.ucl.ac.uk/~iam23/code/

Mike



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