NORMAL_DATASET is a MATLAB program which creates a multivariate normal random dataset and writes it to a file.
The multivariate normal distribution for the M dimensional vector X has the form:
pdf(X) = (2*pi*det(A))**(-M/2) * exp(-0.5*(X-MU)'*inverse(A)*(X-MU))where MU is the mean vector, and A is a positive definite symmetric matrix called the variance-covariance matrix.
To create X, an MxN matrix containing N samples from this distribution, it is only necessary to
r = normal_dataset m n seed mu awhere
The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.
NORMAL_DATASET is available in a C++ version and a FORTRAN90 version and a MATLAB version.
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"normal_dataset ( 2, 25, 123456789, [ 1 2 ], [ 1 0; 0 3] )".
You can go up one level to the MATLAB source codes.