A Comparison of Multivariate Normal Generators

Abstract

Three methods for generating outcomes on multivariate normal random vectors with a specified variance-covariance matrix are presented. A comparison is made to determine which method requires the least computer execution time and memory space when utilizing the IBM 360/67. All methods use as a basis a standard Gaussian random number generator. Results of the… (More)
DOI: 10.1145/361598.361620

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