Introduction
What this guide covers
A mathematical and algorithmic reference for the numerical simulation of multidimensional structures, nonlinear transformations, Poisson, Wiener, Ornstein-Uhlenbeck processes and Markov chain schemes.
Overview
Topics covered
- Introduction
- Random Vector Generation and Stochastic Processes
- Random Vector Fundamentals
- Moments of a Random Vector
- Generation of the Multinormal Distribution
- 2.1 The Cholesky Decomposition Method
Related concepts
Main connections
Compatible notation
Mathematical sample in LaTeX
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\mathbf{x} = \boldsymbol{\mu} + \mathbf{L}\mathbf{z}