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diff --git a/src/main/java/org/apache/commons/math3/random/UncorrelatedRandomVectorGenerator.java b/src/main/java/org/apache/commons/math3/random/UncorrelatedRandomVectorGenerator.java
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+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements.  See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License.  You may obtain a copy of the License at
+ *
+ *      http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+
+package org.apache.commons.math3.random;
+
+import org.apache.commons.math3.exception.DimensionMismatchException;
+
+import java.util.Arrays;
+
+/**
+ * A {@link RandomVectorGenerator} that generates vectors with uncorrelated components. Components
+ * of generated vectors follow (independent) Gaussian distributions, with parameters supplied in the
+ * constructor.
+ *
+ * @since 1.2
+ */
+public class UncorrelatedRandomVectorGenerator implements RandomVectorGenerator {
+
+    /** Underlying scalar generator. */
+    private final NormalizedRandomGenerator generator;
+
+    /** Mean vector. */
+    private final double[] mean;
+
+    /** Standard deviation vector. */
+    private final double[] standardDeviation;
+
+    /**
+     * Simple constructor.
+     *
+     * <p>Build an uncorrelated random vector generator from its mean and standard deviation
+     * vectors.
+     *
+     * @param mean expected mean values for each component
+     * @param standardDeviation standard deviation for each component
+     * @param generator underlying generator for uncorrelated normalized components
+     */
+    public UncorrelatedRandomVectorGenerator(
+            double[] mean, double[] standardDeviation, NormalizedRandomGenerator generator) {
+        if (mean.length != standardDeviation.length) {
+            throw new DimensionMismatchException(mean.length, standardDeviation.length);
+        }
+        this.mean = mean.clone();
+        this.standardDeviation = standardDeviation.clone();
+        this.generator = generator;
+    }
+
+    /**
+     * Simple constructor.
+     *
+     * <p>Build a null mean random and unit standard deviation uncorrelated vector generator
+     *
+     * @param dimension dimension of the vectors to generate
+     * @param generator underlying generator for uncorrelated normalized components
+     */
+    public UncorrelatedRandomVectorGenerator(int dimension, NormalizedRandomGenerator generator) {
+        mean = new double[dimension];
+        standardDeviation = new double[dimension];
+        Arrays.fill(standardDeviation, 1.0);
+        this.generator = generator;
+    }
+
+    /**
+     * Generate an uncorrelated random vector.
+     *
+     * @return a random vector as a newly built array of double
+     */
+    public double[] nextVector() {
+
+        double[] random = new double[mean.length];
+        for (int i = 0; i < random.length; ++i) {
+            random[i] = mean[i] + standardDeviation[i] * generator.nextNormalizedDouble();
+        }
+
+        return random;
+    }
+}