A Comparison of Multivariate Normal Generators
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Authors
Barr, Donald R.
Slezak, Normal L.
Subjects
random number generator
normal distribution
multivariate normal distribution
multivariate normal generators
normal distribution
multivariate normal distribution
multivariate normal generators
Advisors
Date of Issue
1972-12
Date
December 1972
Publisher
ACM
Language
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 comparison indicate that the method based on triangular factorization of the covariance matrix generally requires less memory space and computer time than the other two method
Type
Article
Description
Series/Report No
Department
Organization
Identifiers
NPS Report Number
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Funder
Format
2 p.
Citation
Barr, Donald R., and Norman L. Slezak. "A comparison of multivariate normal generators." Communications of the ACM 15.12 (1972): 1048-1049.
Distribution Statement
Rights
This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.