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Author Knop, Robert E. ♦ Hurst, Rex L.
Source ACM Digital Library
Content type Text
Publisher Association for Computing Machinery (ACM)
File Format PDF
Language English
Subject Keyword Simulation ♦ Normal distribution ♦ Monte carlo ♦ Gaussian distribution ♦ Gaussian density ♦ Normal density ♦ Random number
Abstract We have programmed and made timing comparisons for two algorithms which sample the multivariate normal density N(μ, V) = |V-1|/(2π)n/2·exp(- 1/2(Y - μ)T V-1(Y - μ)) (1) where V is an n X n covariance matrix, μ is an n component vector of means, and Y is an n component random vector [1].
Description Affiliation: Utah State Univ., Logan (Hurst, Rex L.) || Florida State Univ., Tallahassee (Knop, Robert E.)
Age Range 18 to 22 years ♦ above 22 year
Educational Use Research
Education Level UG and PG
Learning Resource Type Article
Publisher Date 2005-08-01
Publisher Place New York
Journal Communications of the ACM (CACM)
Volume Number 15
Issue Number 5
Page Count 3
Starting Page 355
Ending Page 357


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Source: ACM Digital Library