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NAG[g05ezc] NAG[nag_return_multi_normal] - Pseudo-random multivariate Normal vector from reference vector
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Calling Sequence
g05ezc(z, r)
nag_return_multi_normal(. . .)
Parameters
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z - Vector(1.. , datatype=float[8]);
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On exit: the pseudo-random multivariate Normal vector.
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r - float;
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On entry: the reference vector to which memory has been allocated as set up by g05eac (nag_ref_vec_multi_normal). To free this memory the macro NAG_FREE should be added in the users' program after the final call to nag_return_multi_normal (g05ezc).
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Description
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Purpose
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nag_return_multi_normal (g05ezc) generates a pseudo-random multivariate Normal vector taken from a distribution described by a reference vector set up by g05eac (nag_ref_vec_multi_normal).
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Error Indicators and Warnings
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Further Comments
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The time taken by nag_return_multi_normal (g05ezc) is of the order
where  and  are appreciably (say 10-20 times) larger than  .
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Examples
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>
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n := 2:
tdc := 2:
eps := 0.01:
a := Vector([1, 2], datatype=float[8]):
c := Matrix([[2, 1], [1, 3]], datatype=float[8], order='C_order'):
z := Vector(2, datatype=float[8]):
NAG:-g05cbc(0):
NAG:-g05eac(a, c, eps, r, 'n' = n, 'tdc' = tdc):
NAG:-g05ezc(z, r):
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