I need to generate multivariate Normal distribution using only a generator of a random value and without scipy or numpy generators.
I need to generate the following 
This is my attempt
V = np.array([
[1, 2],
[2, 5]])
B = np.linalg.cholesky(V)
A = np.array([1,2])
# norm() return one number from standard normal distribution
n1 = np.array([norm() for _ in range(40)])
n2 = np.array([norm() for _ in range(40)])
np.array([n1,n2]).T.dot(B) + A
Here, I used Cholesky decomposition as in this post
However, I reckon this is not correct.
Aucun commentaire:
Enregistrer un commentaire