A comparison of multivariate normal generators

Results of the comparison indicate that the method based on triangular factorization of the covariance matrix generally requires less memory space and computer time than the other two methods.

Abstract

Three methods for generating outcomes on multivariate normal random vectors with a specified variance-covariance matrix are presented. A comparison is made to determine which method requires the least computer execution time and memory space when utilizing the IBM 360/67. All methods use as a basis a standard Gaussian random number generator. Results of the comparison indicate that the method based on triangular factorization of the covariance matrix generally requires less memory space and computer time than the other two methods.