TOMS425
Generation of Random Correlated Normal Variables
TOMS425
is a FORTRAN77 library which
implements ACM TOMS algorithm 425, for generating random
correlated normal variables.
The code posted here has been updated to reflect a correction that
saves the variable G02 in RNOR between calls, and other updates
related to a remark by Page in June, 1974, supplied by Tim Hopkins,
24 January 2011.
The text of many ACM TOMS algorithms is available online
through ACM:
http://www.acm.org/pubs/calgo
or NETLIB:
http://www.netlib.org/toms/index.html.
Usage:
call rnvr ( x, a, nv, ni, ient, iarg )
where

x contains the output normal variables;

a is the covariance matrix;

nv is the order of the covariance matrix;

ni is the order of the array;

ient is 1 to indicate the initial call;

iarg is a seed for the random number generator.
Languages:
TOMS425 is available in
a FORTRAN77 version.
Reference:

Rex Hurst, Robert Knop,
Algorithm 425: Generation of Random Correlated Normal Variables,
Communications of the ACM,
Volume 15, Number 5, May 1972, pages 355357.

R L Page,
Remark on Algorithm 425: Generation of Random Correlated Normal Variables,
Communications of the ACM,
Volume 17, Number 6, June 1974, page 325.
Source Code:
Examples and Tests:
List of Routines:

RNVR generates a random correlated normal variable on
each call.

RNOR generates a random normal number on
each call.
You can go up one level to
the FORTRAN77 source codes.
Last revised on 24 January 2011.