Generation of multivariate normal samples with given sample mean and covariance matrix
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Publication:3750824
DOI10.1080/00949658508810795zbMath0611.62069MaRDI QIDQ3750824
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
algorithm; variance reduction; antithetic sampling; sample mean vector; sample variance-covariance matrix; constructing a multivariate normal sample
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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