Does anyone know where there is a Fortran library that will generate multi-variate lognormal distribution from inputs of mean, std dev and covariances?
You can try looking in IMSL from VNI (came with CVF Pro and will come with IVF Pro), CVF's CMXL library, Intel's math library (don't know the name), and NAG's routine library.
Thanks,I found routines to generate multivariate normal in both suggestions. If one knows the transformation from the lognormal inputs to the normal inputs, these routines can be used. I also found this transformation, and it appears to be working!
