dot-mvrnorm_arma: Multivariate Normal distribution sampler (Rcpp version),...

.mvrnorm_armaR Documentation

Multivariate Normal distribution sampler (Rcpp version), derived using the eigendecomposition of the covariance matrix Sigma. The function utilizes the arma random normal generator

Description

Multivariate Normal distribution sampler (Rcpp version), derived using the eigendecomposition of the covariance matrix Sigma. The function utilizes the arma random normal generator

Usage

.mvrnorm_arma(n, Mu, Xmat, eigen = TRUE)

Arguments

n

sample size

Mu

mean vector. Will set the dimension

Xmat

covariance matrix, of same dimension as Mu (and square matrix). No sanity check is performed to validate that the matrix is symmetric, so use at own risk

Value

an n sample from a multivariate Normal distribution


mev documentation built on April 26, 2022, 1:07 a.m.