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This example is a more advanced version of the Monte Carlo Integration example given earlier. In addition to the material taken from the example mentioned above, this program also utilized a numerical procedure (specifically, Jocobi search method, for derivation of the Eigenvectors and Eigenvalues) and matrix algebra. The procedure for generating random numbers from a multivariate distribution is described in the 4 steps of the example shown later. This program computes probability from a multivariate standard normal probability distribution.
Random Numbers Generator and Statistics Set (Set 2) Start
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