By Rex L. Hurst, Robert E. Knop
Communications of the ACM,
Vol. 15 No. 5, Pages 355-357
We have programmed and made timing comparisons for two algorithms which sample the multivariate normal density N(&mgr;, V) = |V-1|/(2&pgr;)n/2·exp(- 1/2(Y - &mgr;)T V-1(Y - &mgr;)) (1) where V is an n X n covariance matrix, &mgr; is an n component vector of means, and Y is an n component random vector .
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