A COMPARISON OF METHODS FOR GENERATING MULTIVARIATE NORMAL RANDOM VECTORS.

Abstract

Three methods for generating outcomes on multivariate normal random vectors are presented. A comparison is made to determine which method requires the least computer execution time and memory space when using the IBM 360/67. All methods use as a basis a standard Gaussian random number generator. Results of the comparison study indicate that the method based on triangular factorization of the covariance matrix generally requires less memory space and computer time than the other two methods. (Author)

Document Details

Document Type
Technical Report
Publication Date
Sep 01, 1970
Accession Number
AD0710717

Entities

People

  • Norman Lee Slezak

Organizations

  • Naval Postgraduate School

Tags

DTIC Thesaurus Topics

  • Computer Programs
  • Computers
  • Covariance
  • Data Science
  • Generators
  • Information Science
  • Random Number Generators
  • Standards

Readers

  • Computer Science.
  • Linear Algebra
  • Regression Analysis.

Technology Areas

  • Space