Sign Up to our social questions and Answers Engine to ask questions, answer people’s questions, and connect with other people.
Login to our social questions & Answers Engine to ask questions answer people’s questions & connect with other people.
Lost your password? Please enter your email address. You will receive a link and will create a new password via email.
Please briefly explain why you feel this question should be reported.
Please briefly explain why you feel this answer should be reported.
Please briefly explain why you feel this user should be reported.
what is the best approach to generate random samples from bivariate normal and student T distributions? In both cases sigma is one, mean 0 – so the only parameter I am really interested in is correlation (and degrees of freedom for student t). I need to have the solution in C++, so I can’t unfortunately use already implemented functions from MatLab or Mathematica.
You can use the GNU GSL libraries. See here for Bivariate normal:
http://www.gnu.org/software/gsl/manual/html_node/The-Bivariate-Gaussian-Distribution.html
and Student’s t-distribution here:
http://www.gnu.org/software/gsl/manual/html_node/The-t_002ddistribution.html
They are straight forward to use.