simulate_multivariate_gaussian

function simulate_multivariate_gaussian(μ:Real[_], Σ:Real[_,_]) -> Real[_]

Simulate a multivariate Gaussian distribution.

  • μ: Mean.
  • Σ: Covariance.

function simulate_multivariate_gaussian(μ:Real[_], σ2:Real) -> Real[_]

Simulate a multivariate Gaussian distribution with diagonal covariance.

  • μ: Mean.
  • σ2: Variance.