Re: Random number function for normal distribution?

[Gorazd Brumen]

Hi,

Btw, since the question has popped up,
attached is a way to generate a random normal vector. I
did not write it nicely, but perhaps somebody can use include it
in the functions below.

Regards,
Gorazd

%% simulates number of times from a normal distribution
%% with mean mu and variance-covariance matrix S,
%% mu has to be a vector
function res = simulate (mu, S, number)

  prsize = rows (mu);

  A = sqrtm (S);
  b = A\mu;

  for ind1 = 1:prsize

    res(ind1,:) = normal_rnd (b (ind1), 1, 1, number);

  endfor

  res = A * res;

endfunction



Doug Stewart wrote:
> jian Xu wrote:
>> In MATLAB, I can use normrnd( mu, sigma, m, n) to generate a m by n
>> matrix with random number from the Normal(mu, sigma) distribution.
>> What is the corresponding function in Octave?
>>
>> More importantly, what is the best resource for me to look for answers
>> of this kind of question?  Thank you very much.
>>
>> Jian
>> _______________________________________________
>> Help-octave mailing list
>> address@hidden
>> https://www.cae.wisc.edu/mailman/listinfo/help-octave
>>
>>   
> 
> 
> This should be what you want.
> 
> _Function File:_ *normal_cdf* /(x, m, v)/
>     For each element of x, compute the cumulative distribution function
>     (CDF) at x of the normal distribution with mean m and variance v.
> 
>     Default values are m = 0, v = 1.
> 
> @anchor{doc-normal_inv}
> 
> _Function File:_ *normal_inv* /(x, m, v)/
>     For each element of x, compute the quantile (the inverse of the CDF)
>     at x of the normal distribution with mean m and variance v.
> 
>     Default values are m = 0, v = 1.
> 
> @anchor{doc-normal_pdf}
> 
> _Function File:_ *normal_pdf* /(x, m, v)/
>     For each element of x, compute the probability density function
>     (PDF) at x of the normal distribution with mean m and variance v.
> 
>     Default values are m = 0, v = 1.
> 
> @anchor{doc-normal_rnd}
> 
> _Function File:_ *normal_rnd* /(m, v, r, c)/
>     Return an r by c matrix of random samples from the normal
>     distribution with parameters m and v. Both m and v must be scalar or
>     of size r by c.
> 
>     If r and c are omitted, the size of the result matrix is the common
>     size of m and v.
> 
> _______________________________________________
> Help-octave mailing list
> address@hidden
> https://www.cae.wisc.edu/mailman/listinfo/help-octave
> 

-- 
Gorazd Brumen
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WWW: http://www.gorazdbrumen.net/
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