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.
call rnvr ( x, a, nv, ni, ient, iarg )where
The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.
toms425 is available in a FORTRAN77 version.