Nothing
#' Generate Random Samples from Multivariate Normal Distribution
#'
#' In \eqn{\mathbf{R}^p}, random samples are drawn
#' \deqn{X_1,X_2,\ldots,X_n~ \sim ~ \mathcal{N}(\mu, \Sigma)}
#' where \eqn{\mu \in \mathbf{R}^p} is a mean vector and \eqn{\Sigma \in \textrm{SPD}(p)}
#' is a positive definite covariance matrix.
#'
#' @param n the number of samples to be generated.
#' @param mu mean vector.
#' @param sigma covariance matrix.
#'
#' @return either (1) a length-\eqn{p} vector (\eqn{n=1}) or (2) an \eqn{(n\times p)} matrix where rows are random samples.
#'
#' @examples
#' #-------------------------------------------------------------------
#' # Generate Random Data and Compare with Empirical Covariances
#' #
#' # In R^5 with zero mean and diagonal covariance,
#' # generate 100 and 200 observations and compute MLE covariance.
#' #-------------------------------------------------------------------
#' ## GENERATE DATA
#' mymu = rep(0,5)
#' mysig = diag(5)
#'
#' ## MLE FOR COVARIANCE
#' smat1 = stats::cov(rmvnorm(n=100, mymu, mysig))
#' smat2 = stats::cov(rmvnorm(n=200, mymu, mysig))
#'
#' ## VISUALIZE
#' opar <- par(no.readonly=TRUE)
#' par(mfrow=c(1,3), pty="s")
#' image(mysig[,5:1], axes=FALSE, main="true covariance")
#' image(smat1[,5:1], axes=FALSE, main="empirical cov with n=100")
#' image(smat2[,5:1], axes=FALSE, main="empirical cov with n=200")
#' par(opar)
#'
#' @concept utility
#' @export
rmvnorm <- function(n=1, mu, sigma){
myn = max(round(n), 1)
mymu = as.vector(mu)
mysig = as.matrix(sigma)
output = cpp_rmvnorm(myn, mymu, mysig)
if (myn < 2){
return(as.vector(output))
} else {
return(output)
}
}
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.