rand.mvnorm: Generate Multivariate Normal Distribution

In JackStat/CompPack: Collection of Computational Statistic Tools

Description

A method for generating a pseudo-random multivariate normal data that is based on a cholesky decomposition.

Usage

  rand.mvnorm(n, mu, sigma)

Arguments

n	the number of observations.
mu	a vector of means.
sigma	a variance-covariance matrix.

Author(s)

Tyler Hunt [e-mail]

Examples

sigma=matrix(rep(.5, 9), nrow=3)
diag(sigma)<-1
rand.mvnorm(100, c(1,5,11), sigma)

JackStat/CompPack documentation built on May 7, 2019, 10:16 a.m.