From mboxrd@z Thu Jan 1 00:00:00 1970 Return-Path: Received: (qmail 30449 invoked by alias); 20 Dec 2003 11:10:52 -0000 Mailing-List: contact gsl-discuss-help@sources.redhat.com; run by ezmlm Precedence: bulk List-Subscribe: List-Archive: List-Post: List-Help: , Sender: gsl-discuss-owner@sources.redhat.com Received: (qmail 22051 invoked from network); 19 Dec 2003 19:52:50 -0000 Date: Sat, 20 Dec 2003 11:10:00 -0000 From: Emmanuel Benazera To: gsl-discuss@sources.redhat.com Subject: multivariate gaussian distribution Message-ID: <20031219195249.GA20239@wow.arc.nasa.gov> Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Disposition: inline User-Agent: Mutt/1.4.1i X-SW-Source: 2003-q4/txt/msg00144.txt.bz2 Hi, I've written a few lines of code that implement a multivariate gaussian distribution. The function takes the eigenvalues/vectors decomposition of the covariance matrix as input, and outputs a random vector. In dimension n, it proceeds to n gsl_ran_gaussian calls, plus a blas level 2 product. It fits in the GSL framework. I guess it may be useful to other GSL users. Should it be added to the library ? I can provide the piece of code + doc + theoretical reference. Regards, Emmanuel