### Abstract

The computer program given in this paper generates a set of values for each of the random variables which are distributed according to a multivariate normal distribution. It is written in FORTRAN 77 and is designed to run on a CYBER 175 computer. In generating a set of values, the program either can use actual data of the variables as input to estimate parameter values of the multivariate normal distribution or the parameter values of the multivariate normal distribution can be used directly as input to the program. The theory and the necessary algorithms for the generation are given in detail. Use of the program is illustrated through an example in soil engineering. Monte-Carlo simulation method is used for working out the example.

Original language | English (US) |
---|---|

Pages (from-to) | 221-233 |

Number of pages | 13 |

Journal | Computers and Geosciences |

Volume | 13 |

Issue number | 3 |

DOIs | |

State | Published - 1987 |

### Fingerprint

### Keywords

- Monte-Carlo simulation
- Multivariate normal distribution
- Rock engineering
- Soil engineering

### ASJC Scopus subject areas

- Information Systems
- Computers in Earth Sciences
- Earth and Planetary Sciences(all)
- Environmental Science(all)

### Cite this

**A FORTRAN program for generation of multivariate normally distributed random variables.** / Ghosh, Amitava; Kulatilake, Pinnaduwa.

Research output: Contribution to journal › Article

*Computers and Geosciences*, vol. 13, no. 3, pp. 221-233. https://doi.org/10.1016/0098-3004(87)90043-4

}

TY - JOUR

T1 - A FORTRAN program for generation of multivariate normally distributed random variables

AU - Ghosh, Amitava

AU - Kulatilake, Pinnaduwa

PY - 1987

Y1 - 1987

N2 - The computer program given in this paper generates a set of values for each of the random variables which are distributed according to a multivariate normal distribution. It is written in FORTRAN 77 and is designed to run on a CYBER 175 computer. In generating a set of values, the program either can use actual data of the variables as input to estimate parameter values of the multivariate normal distribution or the parameter values of the multivariate normal distribution can be used directly as input to the program. The theory and the necessary algorithms for the generation are given in detail. Use of the program is illustrated through an example in soil engineering. Monte-Carlo simulation method is used for working out the example.

AB - The computer program given in this paper generates a set of values for each of the random variables which are distributed according to a multivariate normal distribution. It is written in FORTRAN 77 and is designed to run on a CYBER 175 computer. In generating a set of values, the program either can use actual data of the variables as input to estimate parameter values of the multivariate normal distribution or the parameter values of the multivariate normal distribution can be used directly as input to the program. The theory and the necessary algorithms for the generation are given in detail. Use of the program is illustrated through an example in soil engineering. Monte-Carlo simulation method is used for working out the example.

KW - Monte-Carlo simulation

KW - Multivariate normal distribution

KW - Rock engineering

KW - Soil engineering

UR - http://www.scopus.com/inward/record.url?scp=0023525599&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0023525599&partnerID=8YFLogxK

U2 - 10.1016/0098-3004(87)90043-4

DO - 10.1016/0098-3004(87)90043-4

M3 - Article

VL - 13

SP - 221

EP - 233

JO - Computers and Geosciences

JF - Computers and Geosciences

SN - 0098-3004

IS - 3

ER -