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st: Generating multivariate normal random variables


From   "Mike Hollis" <[email protected]>
To   <[email protected]>
Subject   st: Generating multivariate normal random variables
Date   Sat, 31 May 2003 16:09:27 -0700

I'm sure this question has been asked a number of times before, but I wan't
able to find an answer in the Stata FAQs.

Assuming I have a (KxK) covariance matrix (or alternatively,  a set of
pairwise correlations) and (kx1) vector of means for a population.  How can
I generate an (n x K) dataset containing a sample n random observations
drawn from a multivariate normal distributions?

Thanks in advance.

____________________________________________________________________
Mike Hollis
[email protected]
Life is what happens while you're busy making other plans.  John Lennon


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