I’m doing a simulation where I need to calculate a convolution of multinomial distributions.
Is there a library for doing this? Preferably, I would like to be able to calculate exactly when the number of random variables are small and approximate when it gets larger.
The simulation code is in Java but I’m open to other languages.
from MATLAB, you have the commands:
mnrnd (to generate multinomial random distribution)
http://www.mathworks.com/help/toolbox/stats/mnrnd.html
and
conv (to convolve two arrays)
http://www.mathworks.com/help/techdoc/ref/conv.html