rmvnorm: Multivariate normal simulation

In MikeKozelMSU/mcmcFunc: run mcmc

Description

Simulate a multivariate normal random matrix

Usage

rmvnorm(n, mu, Sigma, Sigma.chol = chol(Sigma))

Arguments

n	number of mvnormal vectors to simulate
mu	mean vector
Sigma	covariance matrix
Sigma.chol	Cholesky decomposition of Sigma

Details

This function simulates multivariate normal random vectors

Author(s)

Peter Hoff

Examples

# simulate several matrices and compute the mean
Y<-rmvnorm(100,c(1,2,3),matrix(c(3,0,1,0,1,-1,1,-1,2),3,3))
colMeans(Y)
cov(Y)

MikeKozelMSU/mcmcFunc documentation built on May 22, 2019, 5:31 p.m.