draw.d.variate.uniform: Pseudo-Random Number Generation under Multivariate Uniform...

In MultiRNG: Multivariate Pseudo-Random Number Generation

Description

This function implements pseudo-random number generation for a multivariate uniform distribution with specified mean vector and covariance matrix.

Usage

draw.d.variate.uniform(no.row,d,cov.mat)

Arguments

no.row	Number of rows to generate.
d	Number of variables to generate.
cov.mat	Variance-covariance matrix.

Value

A no.row \times d matrix of generated data.

References

Falk, M. (1999). A simple approach to the generation of uniformly distributed random variables with prescribed correlations. Communications in Statistics, Simulation and Computation, 28(3), 785-791.

Examples

cmat<-matrix(c(1,0.2,0.3,0.2,1,0.2,0.3,0.2,1), nrow=3, ncol=3)
mydata=draw.d.variate.uniform(no.row=1e5,d=3,cov.mat=cmat)
apply(mydata,2,mean)-rep(0.5,3)
cor(mydata)-cmat

Example output

[1] 0.0002979063 0.0003514306 0.0004008688
            [,1]        [,2]        [,3]
[1,]  0.00000000 -0.00665891 -0.01321264
[2,] -0.00665891  0.00000000 -0.00778002
[3,] -0.01321264 -0.00778002  0.00000000

MultiRNG documentation built on March 6, 2021, 1:06 a.m.