From mboxrd@z Thu Jan 1 00:00:00 1970 Return-Path: Received: (qmail 11575 invoked by alias); 5 Mar 2004 11:09:18 -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 11567 invoked from network); 5 Mar 2004 11:09:17 -0000 Received: from unknown (HELO loninmrp0.uk.db.com) (160.83.52.97) by sources.redhat.com with SMTP; 5 Mar 2004 11:09:17 -0000 Received: from sdbo1003.db.com by loninmrp0.uk.db.com id i25B9Gvn028850; Fri, 5 Mar 2004 11:09:17 GMT Subject: Multivariate random number generators To: gsl-discuss@sources.redhat.com Message-ID: From: "Przemyslaw Sliwa" Date: Fri, 05 Mar 2004 11:09:00 -0000 MIME-Version: 1.0 Content-type: text/plain; charset=us-ascii X-SW-Source: 2004-q1/txt/msg00079.txt.bz2 Hi, I have coded four random number generators for multivariate distributions. They include: Multivariate (elliptical) t-distribution Multivariate generalized Laplace distribution, Multivariate skew-normal distribution Multivariate skew-t student distribution. All distributions are expressed in terms of univariate distribution (normal, gamma and chi^2), so that no special inverse transformation or similar method is used. I have done it for my thesis and thought it can be useful for others. If you are interested please let me know and I will code it using the GSL standards. By the way: what is the problem to put the complete MS Visual build on the webpage? I have managed to compile the library, it was straightforward to me but other people have lots of problems and this topic appears very often on the list. Thanks, Przem -------------------------------------------------- Deutsche Bank AG Risk Controlling Credit Risk Engineering & Implementation / Daily Credit Risk Tel.: (+44 20) 754 59676 London Fax: (+44 20) 754 71060 London ---------------------------------------------------- -- This e-mail may contain confidential and/or privileged information. If you are not the intended recipient (or have received this e-mail in error) please notify the sender immediately and destroy this e-mail. Any unauthorized copying, disclosure or distribution of the material in this e-mail is strictly forbidden.