Date:         Fri, 22 Sep 2000 14:45:39 -0400
Reply-To:     Baskin_R <Baskin_R@BLS.GOV>
Sender:       "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From:         Baskin_R <Baskin_R@BLS.GOV>
Subject:      Re: random number generation from of a multivariate normal distri
              bution
Comments: To: "SAS-L (E-mail)" <SAS-L@UGA.CC.UGA.EDU>
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>Date:    Fri, 22 Sep 2000 17:19:37 GMT
>From:    Isabelle Auger <isabelle.auger@MRN.GOUV.QC.CA>
>Subject: random number generation from of a multivariate normal
distribution
>
>Hi!
>
>I need a SAS program (or an algorithm) that generate random numbers from a
>multivariate normal distribution and I would like to be able to specify a
>matrix of covariance. Anyone know a WEB site or an article that talk about
>this? Or anyone have the program to do that?
>
>Thank you
>Isabelle
>

on sas-l archives <http://www.listserv.uga.edu/cgi-bin/wa?S1=sas-l>

there are several emails on this, but in response to an earlier question on
generating multivariate normals:

>In article <s17e199c.001@smtpgate.aqaf.com>, Wen Xu
><WXU@SMTPGATE.AQAF.COM> wrote:
>
>> Hi, Does anyone have codes for  generating some random vectors with
>> a specified multivariate normal distribution ?
>
>
>The following is from Khattree and Naik's APPLIED MULTIVARIATE STATISTICS
>WITH SAS SOFTWARE, (publ. no. 55234), p. 21. A prose description of the
>program's example appears on pages 13-14. Hope this helps.
>
>/* Program 1.3 */
>
>        title 'Output 1.3: Multivariate Normal Sample';
>        /*Generate n random vector from a p dimensional population with
>        mean mu and the covariance matrix sigma  */
>
>        options ls = 76 nodate nonumber;
>        proc iml ;
>        seed = 549065467 ;
>        n = 4 ;
>        sigma = { 4 2 1,
>                  2 3 1,
>                  1 1 5 };
>
>
>        mu = {1, 3, 0};
>        p = nrow(sigma);
>        m = repeat(mu`,n,1) ;
>        g =inv(root(sigma)) ;
>        z =normal(repeat(seed,n,p)) ;
>        y = z*g + m ;
>        print y ;
>        run;
>
>--
>******************************
>Jon Wainwright
>LBJ School of Public Affairs
>University of Texas at Austin
>e-mail:  jsw@mail.utexas.edu
>******************************
>