/// <summary>
/// Generate next random number.
/// </summary>
///
/// <returns>Returns next random number.</returns>
///
public float Next( )
{
return((float)rand.Next( ) * stdDev + mean);
}
/// <summary>
/// Generate next random number.
/// </summary>
///
/// <returns>Returns next random number.</returns>
///
public double Next( )
{
return(rand.Next( ) * stdDev + mean);
}
/// <summary>
/// Generates a random vector of observations from the current distribution.
/// </summary>
/// <param name="samples">The number of samples to generate.</param>
/// <returns>A random vector of observations drawn from this distribution.</returns>
public double[][] Generate(int samples)
{
var r = new StandardGenerator();
double[,] A = chol.LeftTriangularFactor;
var data = new double[samples][];
for (int i = 0; i < data.Length; i++)
{
var sample = new double[Dimension];
for (int j = 0; j < sample.Length; j++)
sample[j] = r.Next();
data[i] = A.Multiply(sample).Add(Mean);
}
return data;
}
