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

(a) Write an algorithm for drawing a pseudo-random sample from a threedimensional multivariate normal distribution $N [0, Σ]$ with $σ_{j j} = 1, j = 1, 2.3$ , and covariances $σ_{12} = σ_{13} = σ_{23} = 0.5$ . 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.

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