rmvnorm: Multivariate Normal (Gaussian) Distribution

In splus2R: Supplemental S-PLUS Functionality in R

Description

Random generation for the multivariate normal (also called Gaussian) distribution.

Usage

rmvnorm(n, mean=rep(0,d), cov=diag(d), sd, rho, d=2)

Arguments

n	sample size – number of random vectors of length d to return (as rows in a matrix).
cov	covariance or correlation matrix with d rows and columns.
d	dimension of the multivariate normal.
mean	vector of length d, or matrix with n rows and d columns.
rho	scalar, vector, or bdVector of length n, containing correlations for bivariate data. This is ignored if cov is supplied.
sd	vector of length d, or matrix with n rows and d columns, containing standard deviations. If supplied, the rows and columns of cov are multiplied by sd. In particular, if cov is a correlation matrix and sd is a vector of standard deviations, the result is a covariance matrix. If sd is a matrix then one row is used for each observation.

Value

random sample ( rmvnorm) for the multivariate normal distribution.

See Also

rnorm,set.seed.

Examples

## 5 rows and 2 independent columns 
rmvnorm(5)

## 5 rows and 3 independent columns 
rmvnorm(5, mean=c(9,3,1))

## 2 columns, std. dev. 1, correlation .9 
rmvnorm(5, rho=.9)

## specify variable means and covariance matrix 
rmvnorm(5, mean=c(9,3), cov=matrix(c(4,1,1,2), 2))

Example output

           [,1]       [,2]
[1,]  1.3861034  0.3364890
[2,]  1.2502044 -0.5277405
[3,] -0.2697167  0.2074887
[4,] -1.0157893  0.2254733
[5,]  1.9201236  1.3153500
          [,1]      [,2]       [,3]
[1,]  8.934760 0.7432428  1.9202167
[2,]  8.737505 3.2633650  1.2534644
[3,] 11.342857 3.8251114 -2.5012796
[4,]  8.814599 3.2251518  0.7740151
[5,]  8.305913 1.3960000  0.6085833
           [,1]       [,2]
[1,]  1.3926143  1.0978886
[2,] -2.4311053 -2.1168523
[3,]  0.2731813  0.3657502
[4,] -0.1139043 -0.1088794
[5,] -0.6964237 -0.6535508
          [,1]     [,2]
[1,]  9.915539 2.773005
[2,] 11.187863 2.184646
[3,]  8.763142 5.338998
[4,]  7.292369 2.359028
[5,]  7.880654 4.348776

splus2R documentation built on Jan. 30, 2021, 9:05 a.m.