MVG Multivariate Gaussian random number generator

Generates vectors from the multivariate normal distribution parameterized by specified mean vector a

MVG is a multivariate Gaussian (normal) random number generator. A user can generate a vector from the multivariate normal distribution of any dimension by specifying a mean vector and symmetric positive-definite covariance matrix. A linear transformation based on the Cholesky decomposition of the covariance matrix is applied to a set of realizations from the distribution N(0,I). By applying the linear transformation to those samples, the output is a matrix whose columns are samples drawn from the distribution N(mu,Sigma) where mu is the specified mean vector and Sigma is an SPD covariance matrix. Type help mvg to learn more.