generate_multivariate_normal_sample | R Documentation |
It generates a sample from a multivariate normal distribution function with the cross-covariance matrix described in [Cruz-Cano et al. 2012].
generate_multivariate_normal_sample(p, q, n)
p |
Number of desired variables in the dataset X. |
q |
Number of desired variables in the dataset Y. |
n |
sample size desired. |
A list of n sample units with the values for the variables of the data sets X and Y.
Raul Cruz-Cano
Cruz-Cano, R.; Lee, M.L.T.; Fast Regularized Canonical Correlation Analysis, Computational Statistics & Data Analysis, Volume 70, 2014, Pages 88-100, ISSN 0167-9473, https://doi.org/10.1016/j.csda.2013.09.020.
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)
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