Abstract
This chapter considers some of the more popular multivariate distributions and shows how to generate random variates for each. The probability distributions described are the following: multivariate discrete arbitrary, multinomial, multivariate hyper geometric, bivariate normal, bivariate lognormal, multivariate normal and multivariate lognormal. The Cholesky decomposition method is also presented because of its important role in generating random variates from the multivariate normal and multivariate lognormal distributions.
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© 2013 Springer Science+Business Media New York
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Thomopoulos, N.T. (2013). Generating Multivariate Random Variates. In: Essentials of Monte Carlo Simulation. Springer, New York, NY. https://doi.org/10.1007/978-1-4614-6022-0_6
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DOI: https://doi.org/10.1007/978-1-4614-6022-0_6
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Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4614-6021-3
Online ISBN: 978-1-4614-6022-0
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