It generates a sample from a multinormal distribution function

Description

It generates a sample from a multinormal distribution function with the cross-covariance matrix described in [Cruz-Cano et al. 2012].

Usage

1

Arguments

p

Number of desired variables in the dataset X.

q

Number of desired variables in the dataset Y.

n

sample size desired.

Value

A list of n sample units with the values for the variables of the datsets X and Y.

Author(s)

Raul Cruz-Cano

References

Cruz-Cano, R.; Lee, M.L.T.; Fast Regularized Canonical Correlation Analysis, under review, 2012.

Examples

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p<-10
q<-10
n<-50
res<-generate_multivariate_normal_sample(p,q,n)
X<-res$X
Y<-res$Y
rownames(X)<-c(1:n)
colnames(X)<-c(1:p)
colnames(Y)<- c(1:q)
my_res<-frcc(X,Y)