mardi 17 juillet 2018

Drawing from a multivarite normal, with "genmn" and "setgmn"

I am trying to draw random deviates from a multinormal distribution. There are two subroutines I found online: "setgmn" and "genmn", which are supposed to do exactly that. They are from the "ranlib" library.

http://www.netlib.org/random/

However, I have no clue how those to subroutines are supossed to work together. Setgmn combines the data in such a way that genmn can uses it. However I struggle wih the "parm" argument I am not exactly sure what I have to pass into it. And how those two subroutines need to be combined to actually work.

I could not find an example online. So I thought maybe someone here already used them or has a link to an example online.




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