MVG Multivariate Gaussian random number generator 1.0

Date Added: August 01, 2013 | Visits: 612

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MVG is a multivariate Gaussian (normal) random number generator. A user can generate a vector from the multivariate normal distribution of any dimension by specifying a mean vector and symmetric positive-definite covariance matrix. A linear transformation based on the Cholesky decomposition of the covariance matrix is applied to a set of realizations from the distribution N(0,I). By applying the linear transformation to those samples, the output is a matrix whose columns are samples drawn from the distribution N(mu,Sigma) where mu is the specified mean vector and Sigma is an SPD covariance matrix. Type help mvg to learn more.

Requirements: No special requirements

Platforms: Matlab

Keyword: Applied, Applying, Cholesky, Decomposition, Output, Realizations, Samples

Users rating: 0/10

License: Shareware

Size: 10 KB

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