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From: "Tomaz " <tomaz.bartolj@gmail.com>
Newsgroups: comp.soft-sys.matlab
Subject: Random sampling from mulvairate distribution
Date: Mon, 9 Nov 2009 10:51:03 +0000 (UTC)
Organization: Universiteit van Tilburg
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Hello!

I realize this is basic question for experienced users/ statistics, but I just cant find a solution to my problem in documentation of Matlab or on Internet.

Here is what I want to do: I need to get a single randomly generated value of one of independent variables out of multivariate normal distribution. I know how to get whole random vector
r = mvnrnd(mu,SIGMA,1);

, but what I have to really do, is basically fix all variables but one. I want to basically say: if you know multivariate distribution and I give you let's say 3 out of 4 independent variables, return me a randomly generated value for the 4th variable (of course taking into account values of other 3 variables). I supposethis is sampling from uniform distribution? But how to fix other 3 variables to get to this distribution? Please, do help me...