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

In mev: Modelling of Extreme Values

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 Sept. 11, 2024, 8:14 p.m.