Bivariate Gaussian Generator

[grabonlee]

Hi

Please can anyone write a code to generate random numbers of array length 2 from setMean and setCovariance?

[JosAH]

Hi

Please can anyone write a code to generate random numbers of array length 2 from setMean and setCovariance?

What is a random number of 'array length 2'?

kind regards,

Jos

[grabonlee]

What is a random number of 'array length 2'?

kind regards,

Jos

The class Random generates random numbers from a gaussian distribution that is one dimensional(univariate). My problem is how to generate bivariate random numbers from Mean(1.0,1.0) and Covariance(1.0,0.0,0.0,1.0)

[r035198x]

The class Random generates random numbers from a gaussian distribution that is one dimensional(univariate). My problem is how to generate bivariate random numbers from Mean(1.0,1.0) and Covariance(1.0,0.0,0.0,1.0)

Do you know the algorithms for this?

Here's a good start.

[JosAH]

From my paper copy of Abramowitz and Stegun (page 953):

Let { X1, X2 } be a pair of independent N(0,1) deviates. Then deviates
{ X1, rho*X1+(1-rho^2)^1/2*X2 } represent a pair of deviates from a bivariate
normal distribution with m=0, s=1, correlation coefficient rho.

There is a N(0,1) pseudo random number generator available, so there you go.

kind regards,

Jos

[r035198x]

From my paper copy of Abramowitz and Stegun (page 953):

Let { X1, X2 } be a pair of independent N(0,1) deviates. Then deviates
{ X1, rho*X1+(1-rho^2)^1/2*X2 } represent a pair of deviates from a bivariate
normal distribution with m=0, s=1, correlation coefficient rho.

There is a N(0,1) pseudo random number generator available, so there you go.

kind regards,

Jos

How I could have used such a book in my 2nd year project (Discrete event simulation).

[JosAH]

How I could have used such a book in my 2nd year project (Discrete event simulation).

It's quite an old (and famous!) book: it was first printed in 1964; I bought my
copy ten years later. I guess the current edition is the 10th or 11th edition.

Go to that link I supplied: it's a full scan of more than 1000 pages; ready for
downloading. (better late than never ;-)

kind regards,

Jos

[r035198x]

It's quite an old (and famous!) book: it was first printed in 1964; I bought my
copy ten years later. I guess the current edition is the 10th or 11th edition.

Go to that link I supplied: it's a full scan of more than 1000 pages; ready for
downloading. (better late than never ;-)

kind regards,

Jos

Yep I've got the download link, I'm downloading it now. I really should have known about that book.

[grabonlee]

Do you know the algorithms for this?

Here's a good start.

Hi
the link you sent is for matlab.
I want to write a class that wraps up a random number generator given the following instance methods;

void setMean(float,float)
void setCovariance(float,float,float)
float[] generateRandom()

[JosAH]

Hi
the link you sent is for matlab.
I want to write a class that wraps up a random number generator given the following instance methods;

void setMean(float,float)
void setCovariance(float,float,float)
float[] generateRandom()

Did you read my reply for starters? Next: google shows quite some results on
"bivariate normal distribution".

kind regards,

Jos

[r035198x]

Hi
the link you sent is for matlab.
I want to write a class that wraps up a random number generator given the following instance methods;

void setMean(float,float)
void setCovariance(float,float,float)
float[] generateRandom()

And again :
Quote=You
"My problem is how to generate bivariate random numbers from Mean(1.0,1.0) and Covariance(1.0,0.0,0.0,1.0)"

The link teaches (not states) how to generate random numbers using a computer program.