Draw a quasi or pseudo random sample from the MVN distribution. For details on the implemented lattice rule for quasi-random numbers see Cools et al. (2006).
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n |
Number of samples, when type = "quasirandom" is used this number is rounded up to the next power of 2 (e.g. 1000 to 1024=2^10) and at least 1024. |
mean |
Mean vector |
sigma |
Covariance matrix |
type |
What type of random numbers to use. |
Matrix of simulated values
We thank Dr. Frances Kuo for the permission to use the generating vectors (order 2 lattice rule) obtained from her website http://web.maths.unsw.edu.au/~fkuo/lattice/.
Cools, R., Kuo, F. Y., and Nuyens, D. (2006) Constructing embedded lattice rules for multivariate integration. SIAM Journal of Scientific Computing, 28, 2162-2188.
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