| Re: Normally distributed vectors [message #12063] |
Thu, 11 June 1998 00:00 |
Emilio Martines
Messages: 4
Registered: March 1997
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Junior Member |
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I sent by mistake my reply just to Ewan Macpherson, instead of the whole
newsgroup. However, since it might be of interest to other people, I post it
here together with his reply.
>>>
>>> All you need to do is generate each component from
>>> independent normal distributions.
>>>
>>
>> Hmmm... I might be wrong, but I think that this is true only if the
>> covariance matrix (the 3X3 matrix made up of variances and
>> covariances) is diagonal. In the other cases, I should find the
>> basis where it is diagonal, sample from independent normal
>> distributions, and then go back to the original basis. Just some
>> linear algebra.
>
> Yes indeed. I misread the part of your message where you
> specified NON-zero covariances. Oops!
> cheers,
> --
> Ewan Macpherson <emacpher@umich.edu>
> Central Systems Laboratory
> Kresge Hearing Research Institute
> http://www-personal.umich.edu/~emacpher
So, thanks Ewan for your attempt. Of course, my original request is still
valid. Greetings to everyone.
Emilio
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| Re: Normally distributed vectors [message #12076 is a reply to message #12063] |
Wed, 10 June 1998 00:00  |
Ewan A. Macpherson
Messages: 14
Registered: December 1996
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Junior Member |
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Emilio Martines wrote:
> Hello, I am looking for a routine to generate random 3-component vectors
> sampled from a 3-dimensional normal distribution (with non-zero covariances of
> course...). I think that I know how to write it, but being rather lazy I hope
> that someone out there has already done it... Thanks in advance.
All you need to do is generate each component from
independent normal distributions.
--
Ewan Macpherson <emacpher@umich.edu>
Central Systems Laboratory
Kresge Hearing Research Institute
http://www-personal.umich.edu/~emacpher
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