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Topic: joint normal distribution
Replies: 1   Last Post: Aug 7, 1996 3:55 AM

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Karl Martin Syring

Posts: 1
Registered: 12/7/04
Re: joint normal distribution
Posted: Aug 7, 1996 3:55 AM
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Hung-Jen Wang wrote:
>
> Hello:
>
> Does anyone know whether there is a built-in function or package that
> allows me to write a joint normal distribution in the case when the
> individual distributions are NOT independent?

[snip]
>
> Any suggestion will be greatly appreciated!
>
> Hung-Jen Wang
> PhD Candidate
> Economics Department
> The University of Michigan


My recipe:

1) Build your covariance matrix mC with dimension nvar x nvar
2) Take square root: mB = MatrixPower[mC,1/2]
3) Get a realisation:
vN=mB.Table[Random[NormalDistribution[0,1]],{i,1,nvar}]
(assuming you have issued a:
Needs["Statistics`ContinuousDistributions`"])

Regards
Karl







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