procedure RandomGaussianMV(const Dst: TMtx; const Mean: TVec; const Sigma: TMtx; const Method: TGaussRandMethod);
Generates random numbers from multivariate normal distribution.
| # | Name | Type | Description |
|---|---|---|---|
| 1 | Dst | TMtx | |
| 2 | Mean | TVec | |
| 3 | Sigma | TMtx | |
| 4 | Method | TGaussRandMethod |
Result: stored in self (calling object)
Remarks:
The function generates random numbers with d-variate normal (Gaussian) distribution with Mean value and variance-covariance matrix Sigma, where Sigma is a dxd symmetric positive-definite matrix in full storage. The number of d-dimensional vectors to be generated is defined with Dst.Rows, the dimension d with Dst.Cols. Mean must be equal to Dst.Cols and Sigma.Rows and Sigma.Cols also equal to Dst.Cols.