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Generate Multivariate Normal Distribution

Posted on 2010-04-05
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How do I generate a set of data of Multivariate Normal Distribution, give mean, std dev? Any available free software to do the job?
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Question by:hongjun
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Expert Comment

by:Dave Brett
ID: 29866030
There is VBA code to do exactly this at http://www.anthony-vba.kefra.com/vba/vba4.htm

Cheers

Dave
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by:hongjun
ID: 29866139
Sorry. Choose to delete wrong question.
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Expert Comment

by:Dave Brett
ID: 29866172
It looks like the other question has already been deleted so this one (as the earlier question) is live

Regards

Dave
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Accepted Solution

by:
ozo earned 800 total points
ID: 29866176
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Expert Comment

by:Dave Brett
ID: 29866183
No probs :)
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Author Comment

by:hongjun
ID: 29866279
Yes, but I need a multivariate one instead.
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Expert Comment

by:NovaDenizen
ID: 29921748
Are you talking about multiple independent normally distributed variables or a group of variables with an associated covariance matrix?
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Author Comment

by:hongjun
ID: 30251390
How do you interpret the below statement?

"To generate the discrete normal distribution, we ¿rst generated the mul-tivariate normal distribution, and then discretized the values of each attribute into equal-width ranges."
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Assisted Solution

by:rkursem
rkursem earned 600 total points
ID: 30510417
That means to divide the interval spanned by the numbers into a number of subintervals each having same length. Then take your data and determine what interval each point belongs to. Finally, you count the number of occurances in each subinterval.

As a simple example, you might see something like below for 11 sub-intervals:
1: *
2: *
3: **
4: ****
5: ******
6: ********
7: *******
8: *****
9: ***
A: *
B: *

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Author Comment

by:hongjun
ID: 30511437
Do you mean we will only generate ONE series of normal distribution numbers?
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Assisted Solution

by:KarlHeinz123
KarlHeinz123 earned 600 total points
ID: 30538754
Te answer to that goes back to the original statement:

"To generate the discrete normal distribution, we ¿rst generated the mul-tivariate normal distribution, and then discretized the values of each attribute into equal-width ranges" [key phrase "each attribute"]

One needs to know how many attributes are being generated. If one, then rkursem had the full answer, If two and a bi-variate normal distribution is desired, then ozo was correct. For more more then two you would have to define the relationship between the attributes and their distributions. A simple model would be to assume for N attributes an n-space matrix with each attribute applied orthogonaly to the rest. Then each attribute would be itself normaly distributed along its axis and you would generate n sets of normaly distributed numbers.
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by:hongjun
ID: 32633179
How to split myself? I can't seem to find the option.
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