Re: [Boost-users] multivariate random variables

Subject: Re: [Boost-users] multivariate random variables
From: Matthias Troyer (troyer_at_[hidden])
Date: 2010-12-16 22:47:37

On Dec 17, 2010, at 1:07 AM, Stefano Gallo wrote:

> Hi Folks,
>  
> I am new here.
> I would like to ask whether exist or not something which could help me.
> My problem is the following.
> I have a vector of mean values (size N) and a covariance matrix (size NxN).  
> I would  like to generate a vector of normal random variables.
>  
> Thanks for your help.
>  
>  
> Stefano Gallo

Hi Stefano,

We have a distribution for that which we wanted to contribute to Boost for a while but dit not get aorund to doing so yet. I'll attach it to this mail.

Matthias