sampling from Normal distributions


stefanosofia
02-06-2004, 03:25 AM
I am looking for subroutines or functions that sample random values from a unidimensional and multidimensional Normal distribution.
Do they exist? (I know there is a procedure for sampling from a N(0,1). It that it?)

Thank you for your attention and help
Stefano

mrowell
02-11-2004, 05:22 PM
m dimensional Multivariate random
Isn't one possible way is to generate m N(0,1) samples (independent) and to apply a correlation matrix (m by m pairwise symmetric) by takinmg the cholesky decomposition (or Eigen decomposition) and forming the correlated multivariate draw by multiplying the 2.

(Known as Gaussian copula -- you could lok at other Copulas but of course you multivariate distribution would not then be Normal)

M