toms425


toms425, a FORTRAN77 code 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

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Languages:

toms425 is available in a FORTRAN77 version.

Related Data and codes:

toms425_test

Reference:

  1. Rex Hurst, Robert Knop,
    Algorithm 425: Generation of Random Correlated Normal Variables,
    Communications of the ACM,
    Volume 15, Number 5, May 1972, pages 355-357.
  2. 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:


Last revised on 15 November 2023.