mvn_sup: Multivariate normal supremum simulation

In robust2sls: Outlier Robust Two-Stage Least Squares Inference and Testing

Multivariate normal supremum simulation

Description

mvn_sup simulates the distribution of the supremum of the specified multivariate normal distribution by drawing repeatedly from the multivariate normal distribution and calculating the maximum of each vector.

Usage

mvn_sup(n, mu, Sigma, seed = NULL)

Arguments

n	An integer determining the number of draws from the multivariate normal distribution.
mu	A numeric vector representing the mean of the multivariate normal distribution.
Sigma	A numeric matrix representing the variance-covariance matrix of the mutlivariate normal distribution.
seed	An integer setting the random seed or NULL if it should not be set.

Value

mvn_sup returns a vector of suprema of length n.

robust2sls documentation built on Jan. 11, 2023, 5:13 p.m.