mvrnorm: Multivariate Normal distribution sampler

In mev: Modelling of Extreme Values

Multivariate Normal distribution sampler

Description

Sampler derived using the eigendecomposition of the covariance matrix Sigma. The function uses the Armadillo random normal generator

Usage

mvrnorm(n, mu, Sigma)

Arguments

n	sample size
mu	mean vector. Will set the dimension
Sigma	a square covariance matrix, of same dimension as mu. No sanity check is performed to validate that the matrix is p.s.d., so use at own risk

Value

an n sample from a multivariate Normal distribution

Examples

mvrnorm(n=10, mu=c(0,2), Sigma=diag(2))

mev documentation built on Sept. 11, 2024, 8:14 p.m.