In[32]:=

(mu = {1, 2, 3, 4} ; sigma = {{1, 1/2, 1/3, 1/4}, {1/2, 1/3, 1/4, 1/5}, {1/3, 1/4, 1/5 ... , 1/7}} ; Timing[Table[Random[MultinormalDistribution[mu, sigma]], {1000}]][[1]]) 

Out[32]=

1.1 Second

In[33]:=

Timing[RandomArray[MultinormalDistribution[mu, sigma], 1000]][[1]]

Out[33]=

0.04 Second

In[37]:=

TableForm[RandomArray[MultinormalDistribution[mu, sigma], 10]]

Out[37]//TableForm=

0.794129 2.14265 3.07748 3.99382
0.512802 1.87838 3.00016 4.0542
1.47332 2.12031 2.98358 3.92293
0.260279 2.02313 3.12486 4.07172
1.09766 1.94428 3.01756 4.09669
0.494614 2.22344 3.34465 4.35676
2.10135 2.56974 3.34963 4.24947
0.435116 1.55805 2.64588 3.71421
0.95995 1.85335 2.84979 3.82561
0.168249 1.74447 3.02239 4.14568

Created by Mathematica  (December 13, 2004)