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Generate Multivariate Normal Distribution

How do I generate a set of data of Multivariate Normal Distribution, give mean, std dev? Any available free software to do the job?

Dave

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

Cheers

Dave

hongjun

ASKER

Sorry. Choose to delete wrong question.

Dave

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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ozo

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Dave

No probs :)

hongjun

ASKER

Yes, but I need a multivariate one instead.

NovaDenizen

Are you talking about multiple independent normally distributed variables or a group of variables with an associated covariance matrix?

hongjun

ASKER

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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rkursem

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hongjun

ASKER

Do you mean we will only generate ONE series of normal distribution numbers?

SOLUTION

KarlHeinz123

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hongjun

ASKER

How to split myself? I can't seem to find the option.