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Journal of Statistical Computation and Simulation Volume 21, 1985 - Issue 1
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Original Articles

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

R.C.H. Cheng Department of Mathematics, UWIST, Cardiff, U.K
Pages 39-49 | Received 10 Oct 1983, Published online: 20 Mar 2007

Citations (18)

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Piotr Sulewski. (2022) Two methods of conjoint summands of generating bivariate and trivariate normal pseudo-random numbers. Journal of Statistical Computation and Simulation 92:8, pages 1714-1739.
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David Jesch, Alija Bevrnja, Francesca di Mare, Johannes Janicka & Amsini Sadiki. (2019) Large eddy simulation of a turbulent flame using tabulated chemistry with a novel multivariate PDF. International Journal of Computational Fluid Dynamics 33:5, pages 181-201.
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Kim-hung Li. (1992) Generation of random matrices with orthonormal columns and multivariate normal wariates with given sample mean and covariance. Journal of Statistical Computation and Simulation 43:1-2, pages 11-18.
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Barry L. Nelson. (1987) A perspective on variance reduction in dynamic simulation experiments. Communications in Statistics - Simulation and Computation 16:2, pages 385-426.
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Articles from other publishers (14)

Russell Barton, Marvin K. Nakayama & Lee Schruben. (2017) History of improving statistical efficiency. History of improving statistical efficiency.
Juan Carlos Arismendi & Herbert Kimura. (2016) Monte Carlo approximate tensor moment simulations. Numerical Linear Algebra with Applications 23:5, pages 825-847.
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M. Vořechovský & D. Novák. (2009) Correlation control in small-sample Monte Carlo type simulations I: A simulated annealing approach. Probabilistic Engineering Mechanics 24:3, pages 452-462.
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Arnab Chakraborty. (2006) Generating multivariate correlated samples. Computational Statistics 21:1, pages 103-119.
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�yvind Langsrud. (2005) Rotation tests. Statistics and Computing 15:1, pages 53-60.
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Dimos C. Charmpis & Panayiota L. Panteli. (2004) A heuristic approach for the generation of multivariate random samples with specified marginal distributions and correlation matrix. Computational Statistics 19:2.
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Philip M. Lurie & Matthew S. Goldberg. (1998) An Approximate Method for Sampling Correlated Random Variables from Partially-Specified Distributions. Management Science 44:2, pages 203-218.
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M.T. Boswell, S.D. Gore, G.P. Patil & C. Taillie. 1993. Computational Statistics. Computational Statistics 661 721 .
J. H. Han, A. J. I. Ward & B. K. Lavine. (1990) The problem of adequate sample size in pattern recognition studies: The multivariate normal case. Journal of Chemometrics 4:1, pages 91-96.
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Barry L. Nelson. (1987) Some properties of simulation interval estimators under dependence induction. Operations Research Letters 6:4, pages 169-176.
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Mark E. Johnson. 1987. Multivariate Statistical Simulation. Multivariate Statistical Simulation 219 224 .
. (1985) Letter to the Editors. Journal of the Royal Statistical Society Series C: Applied Statistics 34:3, pages 295-295.
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J. C. Arismendi & Herbert Kimura. (2014) Monte Carlo Approximate Tensor Moment Simulations. SSRN Electronic Journal.
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Attilio Meucci. (2009) Simulations with Exact Means and Covariances. SSRN Electronic Journal.
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