VNORMAL Call

Language Reference

generates multivariate normal random series

CALL VNORMAL( series, mu, sigma, n <, seed>);

The inputs to the VNORMAL subroutine are as follows:

mu: specifies a k ×1 (or 1 ×k) mean vector. By default, mu is a zero vector.
sigma: specifies a k ×k symmetric positive-definite covariance matrix. By default, sigma is an identity matrix with dimension k. You must specify either mu or sigma.
n: specifies the length of the series. By default, n=100.
seed: specifies the random number seed. If it is not supplied, the system clock is used to generate the seed. If it is negative, then the absolute value is used as the starting seed; otherwise, subsequent calls ignore the value of seed and use the last seed generated internally.

The VNORMAL subroutine returns the following value:

To generate a bivariate space (k=2) normal random series with mean $\mu$ and covariance matrix $\Sigma$ , where

$\mu=[\matrix{10 \cr 20 \cr}] {\rm and } \Sigma=[\matrix{1.0 & 0.5 \cr 0.5 & 1.25 \cr }],$

you can specify

  call vnormal(et, mu, sigma, 100);