Class Mvn

java.lang.Object
  |
  +--Mvn

public class Mvn
extends java.lang.Object

This class is for generating multvariate normal deviates.


References:

Kitanidis, P.K. 1997. Introduction to Geostatistics, Applications in Hydrogeology. Cambridge University Press, Cambridge, UK. Appendix C.3.

Knuth, D.E. 1998. The Art of Computer Programming, Volume 2. Seminumerical Algorithms, Third Edition. Addision-Wesley, Reading Mass. p. 586.

The Jama matrix package for Java.


Constructor Summary
Mvn(Jama.Matrix V, double[] means)
          Create one.
 
Method Summary
 double[][] perturb()
          Generate the Matrix of Multivariate Normal Deviates where each row corresponds to an event for each random variable.
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

Mvn

public Mvn(Jama.Matrix V,
           double[] means)
Create one.

Parameters:
V - Variance-Covariance Matrix of the random variables
means - Vector of means of the random variables
Method Detail

perturb

public double[][] perturb()
Generate the Matrix of Multivariate Normal Deviates where each row corresponds to an event for each random variable.