A multidimensional random number generating method based on the sample covariance matrix

DOI10.3969/J.ISSN.1008-5513.2014.06.010MaRDI QIDQ5260785zbMATH OpenFDO

Authors Mengzhe Sun, Yanke Bao

Publication date 29 June 2015

Full work available at URL https://doi.org/10.3969/J.ISSN.1008-5513.2014.06.010

zbMATH Keywords

principal component analysissimulationalgorithmsample covariance matrixmultidimensional datamultidimensional Gaussian distributiondiscretization processing

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Random number generation in numerical analysis (65C10) Analysis of variance and covariance (ANOVA) (62J10)

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• scientific article; zbMATH DE number 4022411

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(1)

• Generation of multivariate normal samples with given sample mean and covariance matrix

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