Re: Multivariate pdf of a normal distribution

[Prasenjit Kapat]

> I don't know for sure that inv(r') == inv(r)' for r upper triangular.

Analytically it is, but numerically need not be, as Paul rightly showed.
Now while on this multivariate normal issue, how about generating
multivariate normal random variables, given the mean and the sigma
matrix ? any available/easily-writable code ?

Kapat



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