I answered my question by implementing this method: https://en.wikipedia.org/wiki/Multivariate_normal_distribution#Drawing_values_from_the_distribution
NB. drawing a random vector from a multivariate normal distribution require '~addons/stats/distribs/normal.ijs' load 'math/lapack' load 'math/lapack/potrf' NB. Cholesky decomposition mp=: +/ . * chol=: potrf_jlapack_ isv=: rnorm01_pdistribs_ NB. independent standard variates NB. For example we consider a 2d gaussian mu=: 0 4 d=: #mu sg=: d d $ 3 0 0 0.5 a=: chol sg NB. To draw a random vector, I can do: x=: mu + a mp isv d Best wishes, Pierre-Edouard On Wed, Jan 11, 2017 at 05:12:24PM +0100, Pierre-Edouard Portier wrote: > Dear all, > > How would you draw samples from a multivariate gaussian distribution? > E.g. a gaussian with mean 'mu=:0 4' and covariance 'sg=:2 2 $ 3 0 0 0.5' > > Best wishes, > Pierre-Edouard > -- > ---------------------------------------------------------------------- > For information about J forums see http://www.jsoftware.com/forums.htm ---------------------------------------------------------------------- For information about J forums see http://www.jsoftware.com/forums.htm
