n-variate simulations & cholesky classes 
Author Message
 n-variate simulations & cholesky classes

greetings,

i want to do some n-variate simulations with correlation
between the variables.

does anyone have classes that generate correlated error terms
or at least do the cholesky decomposition?

( i use the SNAP matrix classes by David Rector. )

thanks very much,

joe.

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Mon, 05 Feb 1996 22:40:25 GMT  
 
 [ 1 post ] 

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