This application is an extension of an earlier document on multivariate distributions and demonstrates how Maple can be used to generate random samples from such distribution. In a narrow sense, it presents the tool for generation of correlated samples. The sampling need for multi-factor random variables (RV) with a given correlation structure arises in many applications in economics, finance, but also in natural sciences such as genetics, physics etc. and here we show that such task can be accomplished with ease using Maple’s Statistics and Linear Algebra packages.
Daniel Skoog
John Ogilvie
Maplesoft
Dr. Giuseppe Guarino
Igor Hlivka
Dr. Robert Lopez
Yumi Mizuno
José Luis Gómez Pardo
Wayne Allen
