On generation of elliptical distributions with Gaussian form covariance matrix

✍ Scribed by C.K. Chow; H.R. Raemer

• Publisher: Elsevier Science
• Year: 1993
• Tongue: English
• Weight: 674 KB
• Volume: 330
• Category: Article
• ISSN: 0016-0032
• DOI: 10.1016/0016-0032(93)90016-n

✦ Synopsis

This paper show the generation of random vectors having multivariate exponential and Bessel distributions with Gaussian form variance-covariance matrix, which cam be used to simulate the surface height sampled from a rough terrain. Major results include the generation of PDF of the form x"K,(x) and the representation of the Gaussian ,form uariancecovariance matrix by the Kronecker product of matrices as well as its analytical triangular decomposition. These results are used to simpltfy the random vector generation and the evaluation of quadratic form.