Thread Subject: Free book on generating random number and generating mulitvariate normal random number

I am wondering if there are any multivariate normal random
number generation scheme other than the one taking the
product of uncorreated standard normal numbers and Cholesky
decomposition of the covariance matrix.

Also, few years ago I came across a website where I could
download the entire book on generating random numbers. The
was upset by the publisher who wasn't willing to print a
second edition of his book even though the first edition
was sold out and there he allowed people to download his
book. Does anyone know what this website is?

Cheers!

On May 9, 6:39=A0pm, "Peter " <cf...@hotmail.com> wrote:
> I am wondering if there are any multivariate normal random
> number generation scheme other than the one taking the
> product of uncorreated standard normal numbers and Cholesky
> decomposition of the covariance matrix.
>
> Also, few years ago I came across a website where I could
> download the entire book on generating random numbers. The
> was upset by the publisher who wasn't willing to print a
> second edition of his book even though the first edition
> was sold out and there he allowed people to download his
> book. Does anyone know what this website is?
>
> Cheers!

I think it was "Through the Looking Glass".
Here's an excerpt:
Twas brillig, and the slithy toves
Did gyre and gimble in the wabe:
All mimsy were the borogoves,
And the mome raths outgrabe.

Peter wrote:
> I am wondering if there are any multivariate normal random
> number generation scheme other than the one taking the
> product of uncorreated standard normal numbers and Cholesky
> decomposition of the covariance matrix.

Why would you want another method?

For non-normal multivariate random number generation, see MVTRND, WISHRND,
IWISHRND, SLICESAMPLE, and COPULARND in the Statistics Toolbox.


> Also, few years ago I came across a website where I could
> download the entire book on generating random numbers. The
> was upset by the publisher who wasn't willing to print a
> second edition of his book even though the first edition
> was sold out and there he allowed people to download his
> book. Does anyone know what this website is?

The book is Non-Uniform Random Variate Generation, by Luc Devroye, and it is
excellent, though tough going at times. It is here:

<http://cg.scs.carleton.ca/~luc/rnbookindex.html>

You will find random number generation functions for many of the distributions
Devroye covers in the Statistics Toolbox.

Hope this helps.

- Peter Perkins
   The MathWorks, Inc.

Peter Perkins <Peter.PerkinsRemoveThis@mathworks.com> wrote
in message <g01q7u$jm8$1@fred.mathworks.com>...

> Why would you want another method?

The reason is I need to generate random numbers between
pairs of random variables seperately rather than a block
while maintaining the covariance structure.

And many thanks for the website of the book.