Simulation methods of multivariate normal distribution

الملخص EN

In this paper, we are studying three simulation methods to generate observation for multivariate normal distribution, and these methods are: Matlab mvnrnd, decomposition and conditional methods, and we put simulation programs for each method by Matlab 2015a software, and comparison between these methods by depend on many criterions as MSE, AIC, skw, kur.

As well as the run speed criterion for each method to get the best method