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

DOI10.1080/00949658508810795zbMath0611.62069OpenAlexW1994797973MaRDI QIDQ3750824

Russell C. H. Cheng

Publication date: 1985

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658508810795

zbMATH Keywords

algorithmvariance reductionantithetic samplingsample mean vectorsample variance-covariance matrixconstructing a multivariate normal sample

Mathematics Subject Classification ID

Multivariate analysis (62H99) Monte Carlo methods (65C05)

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Cites Work

• Generation of normal variates with given sample mean and variance
• Random Orthogonal Transformations and their use in Some Classical Distribution Problems in Multivariate Analysis
• XX.—On the Theory of Statistical Regression
• Inverse distributions and independent gamma-distributed products of random variables