NOTE: The MVN macro is obsolete. Beginning in SAS 9.2, use the RANDNORMAL function in SAS/IML software or PROC SIMNORMAL in SAS/STAT software to generate multivariate normal data.
PURPOSE:
The %MVN macro generates multivariate normal data using the Cholesky root of the variance-covariance matrix. Bivariate normal data can be generated using the DATA step.
T. Licht, L. Dohmen, P. Schmitz, L. Schmidt, und H. Luczak. Proceedings of the European Simulation and Modelling Conference (Paris 2004), Seite 188-195 *** Best Paper Award ***. Ghent, EUROSIS-ETI, (2004)
A. Künzer, L. Schmidt, C. Schlick, und H. Luczak. Autonome Produktionszellen: Komplexe Produktionsprozesse flexibel automatisieren, Springer, Berlin, (2006)