(a) Write an algorithm for drawing a pseudo-random sample from a threedimensional multivariate normal distribution N [0, ] with j j = 1, j =

(a) Write an algorithm for drawing a pseudo-random sample from a threedimensional multivariate normal distribution N [0, ] with σj j = 1, j = 1, 2.3, and covariances σ12 = σ13 = σ23 = 0.5. Draw a sample of 1,000 realizations and compare the estimated means and variances with those of the dgp.

(b) Repeat part

(a) with the trivariate normal being replaced by a Student’s t-distribution with five degrees of freedom.