rqmvnorm | R Documentation |
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).
rqmvnorm(
n,
mean = rep(0, nrow(sigma)),
sigma = diag(length(mean)),
type = c("quasirandom", "pseudorandom")
)
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 https://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.
sims <- rqmvnorm(100, mean = 1:2, sigma = diag(2))
plot(sims)
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