Lecture 3 Pseudo-random number generation
Lecture 3 Pseudo-random number generation
Lecture 3 Pseudo-random number generation
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Multidimensional normal distribution N(µ, Σ) on R p has a<br />
density<br />
f(x) =<br />
1<br />
(2π) p/2<br />
1<br />
�<br />
exp<br />
(det Σ) 1/2<br />
− 1<br />
2 (x − µ)TΣ −1 �<br />
(x − µ) .<br />
Here µ is a p-dimensional vector of expected values, and Σ is<br />
a p × p-dimensional covariance matrix.<br />
Computational Finance – p. 24