Accession Number : AD0710717

Title :   A COMPARISON OF METHODS FOR GENERATING MULTIVARIATE NORMAL RANDOM VECTORS.

Descriptive Note : Master's thesis,

Corporate Author : NAVAL POSTGRADUATE SCHOOL MONTEREY CALIF

Personal Author(s) : Slezak,Norman Lee

Report Date : SEP 1970

Pagination or Media Count : 30

Abstract : Three methods for generating outcomes on multivariate normal random vectors are presented. A comparison is made to determine which method requires the least computer execution time and memory space when using the IBM 360/67. All methods use as a basis a standard Gaussian random number generator. Results of the comparison study indicate that the method based on triangular factorization of the covariance matrix generally requires less memory space and computer time than the other two methods. (Author)

Descriptors :   (*STATISTICAL DISTRIBUTIONS, *MULTIVARIATE ANALYSIS), (*RANDOM VARIABLES, SOURCES), PROBABILITY DENSITY FUNCTIONS, MATRICES(MATHEMATICS), COMPUTER PROGRAMS, SIMULATION, THESES

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE