A Comparison of Multivariate Normal Generators

Three methods for generating outcomes on multivariate
normal random vectors with a specified 
variance-covariance matrix are presented.  A comparison
is made to determine which method requires the 
least computer execution time and memory space when utilizing
the IBM 360/67.  All methods use as a basis 
a standard Gaussian random number generator.  Results
of the comparison 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. 

CACM December, 1972

Barr, D. R.
Sezak, N. L.

random number generator, normal distribution, multivariate
normal distribution, multivariate normal 
generator

3.65 5.5

CA721206 JB January 27, 1978  11:19 AM

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