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TRngStream.RandomGaussianMV Method
TRngStream Class | TRngStream Members | RndGenerators Namespace | public
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Generates random numbers from multivariate normal distribution.

Pascal
procedure RandomGaussianMV(const Dst: TMtx; const Mean: TVec; const Sigma: TMtx; const Method: TGaussRandMethod = grmBoxMuller);
Description

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.

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