sounds like you need a multivariate central limit theorem
Hi,
I have a sampling mean and covariance matrix and I have to do the following:
1. Take N sample vectors according to the sample mean vector and sample covariance matrix
2. calculate the probability that of a certain vector according to the sample mean vector and sample covariance matrix.
I saw in wikipedia an explanation how to do 1 in case of a multivariate normal distribution, but my distribution is not necessarily normal...
Thanks.