draw_U: Samples from a Multivariate Normal Distribution

In SimSurvNMarker: Simulate Survival Time and Markers

Samples from a Multivariate Normal Distribution

Description

Simulates from a multivariate normal distribution and returns a matrix with appropriate dimensions.

Usage

draw_U(Psi_chol, n_y)

Arguments

Psi_chol	Cholesky decomposition of the covariance matrix.
n_y	number of markers.

Examples

library(SimSurvNMarker)
set.seed(1)
n_y <- 2L
K <- 3L * n_y
Psi <- drop(rWishart(1, K, diag(K)))
Psi_chol <- chol(Psi)

# example
dim(draw_U(Psi_chol, n_y))
samples <- replicate(100, draw_U(Psi_chol, n_y))
samples <- t(apply(samples, 3, c))

colMeans(samples) # ~ zeroes
cov(samples) # ~ Psi

SimSurvNMarker documentation built on Nov. 10, 2022, 5:12 p.m.