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DRANDMULTINORMALR / SRANDMULTINORMALR

Generates an array of random variates from a Multivariate Normal distribution using a reference vector initialized by DRANDMULTINORMALREFERENCE.

(Note that SRANDMULTINORMALR is the single precision version of DRANDMULTINORMALR. The argument lists of both routines are identical except that any double precision arguments of DRANDMULTINORMALR are replaced in SRANDMULTINORMALR by single precision arguments - type REAL in FORTRAN or type float in C).

— SUBROUTINE: DRANDMULTINORMALR (N,REF,STATE,X,LDX,INFO)
— Input: INTEGER N

On input: number of variates required.
Constraint: N>=0.

— Input: DOUBLE PRECISION REF(*)

On input: a reference vector generated by DRANDMULTINORMALREFERENCE.

— Input/Output: INTEGER STATE(*)

The STATE vector holds information on the state of the base generator being used and as such its minimum length varies. Prior to calling DRANDMULTINORMALR STATE must have been initialized. See Initialization of the Base Generators for information on initialization of the STATE variable.
On input: the current state of the base generator.
On output: the updated state of the base generator.

— Output: DOUBLE PRECISION X(LDX,M)

On output: matrix of variates from the specified distribution.

— Input: INTEGER LDX

On input: leading dimension of X in the calling routine.
Constraint: LDX>=M.

— Output: INTEGER INFO

On output: INFO is an error indicator. On successful exit, INFO contains 0. If INFO = -i on exit, the i-th argument had an illegal value. 

     Example:
     

     
          C      Generate 100 values from the
          C      Multivariate Normal distribution
                 INTEGER LSTATE,N, MM
                 PARAMETER (LSTATE=16,N=100,MM=10)
                 INTEGER I,J,INFO,SEED(1),STATE(LSTATE)
                 INTEGER LDC,LDX,M
                 DOUBLE PRECISION X(N,MM),XMU(MM),C(MM,MM)
                 INTEGER LREF
                 DOUBLE PRECISION REF(1000)
          
          C      Set array sizes
                 LDC = MM
                 LDX = N
          
          C      Set the seed
                 SEED(1) = 1234
          
          C      Read in the distributional parameters
                 READ(5,*) M
                 READ(5,*) (XMU(I),I=1,M)
                 DO 20 I = 1,M
                   READ(5,*) (C(I,J),J=1,M)
          20     CONTINUE
          
          C      Initialize the STATE vector
                 CALL DRANDINITIALIZE(1,1,SEED,1,STATE,LSTATE,INFO)
          
          C      Initialize the reference vector
                 LREF = 1000
                 CALL DRANDMULTINORMALREFERENCE(M,XMU,C,LDC,REF,LREF,INFO)
          
          C      Generate N variates from the
          C      Multivariate Normal distribution
                 CALL DRANDMULTINORMALR(N,REF,STATE,X,LDX,INFO)
          C      Print the results
                 DO 40 I = 1,N
                   WRITE(6,*) (X(I,J),J=1,M)
          40     CONTINUE