MULTNORM: RATS module to generate a sample from a multivariate normal population

Eric Blankmeyer ()
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Eric Blankmeyer: Texas State University

Statistical Software Components from Boston College Department of Economics

Abstract: multnorm.src generates a sample from a multivariate normal population. the user specifies the number of variables (ncol), the sample size (nrow), and the correlation matrix (cormat). the user also designates the matrix (mn) where the sample is to be stored. both cormat and mn should be declared in the program that calls multnorm.src; for example: dec symm cormat(ncol,ncol) dec rect mn(nrow,ncol) since cormat is symmetric, only the elements on and below the main diagonal must be specified. a correlation matrix must be positive definite. before invoking multnorm.src, the user may want to verify that cormat is in fact positive definite by computing its eigenvalues with the RATS instruction eigen. the elements of mn are standard normal variables. after mn has been generated, the user can easily change the means and standard deviations.

Language: RATS
Keywords: sampling; probability distributions; Monte Carlo (search for similar items in EconPapers)
Date: 1999-04-05
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http://fmwww.bc.edu/repec/bocode/m/MULTNORM.SRC program code (text/plain)

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