Multivariate Normal Distribution - Drawing Values From The Distribution

Drawing Values From The Distribution

A widely used method for drawing a random vector x from the N-dimensional multivariate normal distribution with mean vector μ and covariance matrix Σ works as follows:

  1. Find any real matrix A such that A AT = Σ. When Σ is positive-definite, the Cholesky decomposition is typically used, and the extended form of this decomposition can be always be used (as the covariance matrix may be only positive semi-definite) in both cases a suitable matrix A is obtained. An alternative is to use the matrix A = UΛ½ obtained from a spectral decomposition Σ = UΛUT of Σ. The former approach is more computationally straightforward but the matrices A change for different orderings of the elements of the random vector, while the latter approach gives matrices that are related by simple re-orderings. In theory both approaches give equally good ways of determining a suitable matrix A, but there are differences in compuation time.
  2. Let z = (z1, …, zN)T be a vector whose components are N independent standard normal variates (which can be generated, for example, by using the Box–Muller transform).
  3. Let x be μ + Az. This has the desired distribution due to the affine transformation property.

Read more about this topic:  Multivariate Normal Distribution

Famous quotes containing the words drawing, values and/or distribution:

    “Painting dissolves the forms at its command, or tends to; it melts them into color. Drawing, on the other hand, goes about resolving forms, giving edge and essence to things. To see shapes clearly, one outlines them—whether on paper or in the mind. Therefore, Michelangelo, a profoundly cultivated man, called drawing the basis of all knowledge whatsoever.”
    —Alexander Eliot (b. 1919)

    “[University students] hated the hypocrisy of adult society, the rigidity of its political institutions, the impersonality of its bureaucracies. They sought to create a society that places human values before materialistic ones, that has a little less head and a little more heart, that is dominated by self-interest and loves its neighbor more. And they were persuaded that group protest of a militant nature would advance those goals.”
    —Muriel Beadle (b. 1915)

    “In this distribution of functions, the scholar is the delegated intellect. In the right state, he is, Man Thinking. In the degenerate state, when the victim of society, he tends to become a mere thinker, or, still worse, the parrot of other men’s thinking.”
    —Ralph Waldo Emerson (1803–1882)