A FORTRAN program for generation of multivariate normally distributed random variables

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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 languageEnglish (US)
Pages (from-to)221-233
Number of pages13
JournalComputers and Geosciences
Volume13
Issue number3
DOIs
StatePublished - 1987

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Keywords

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

ASJC Scopus subject areas

  • Information Systems
  • Computers in Earth Sciences

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