Number Generator - Multivariate Standard Normal Distribution
program is a derivation of the Multivariate Standard Normal Probability
Distribution example. Users will be able to populate multivariate
standard normal deviates on the spreadsheet for analysis. For
detail on this distribution, please refer to the Multivariate Standard
Normal Probability Distribution example.
In this example, we have 3
variables that are distributed normally with mean of 0 and standard
deviation of 1 with their correlations as shown in the chart
below. We want to find the probability that variable1 <= 0,
variable 2 <= 1.5, and variable 3 <= 2.5.
following displays a sample of the populated data for the simulation.
* Complete program (with open source codes) available in Package Set 2 and the Combo Package.