Qsimmer: Efficient Gaussian simulation Simulate from multivariate...

In eirikmn/bremla: Bayesian Regression Modeling of Layer-Counted Archives

Efficient Gaussian simulation Simulate from multivariate Gaussian distribution efficiently by using sparse precision matrix

Description

Efficient Gaussian simulation Simulate from multivariate Gaussian distribution efficiently by using sparse precision matrix

Usage

Qsimmer(nsims, Q, muvek)

Arguments

nsims	The number of samples to be produced.
Q	The precision matrix, should be sparse.
muvek	The mean vector.

Value

Returns matrix with nsims samples of length equal to nrow(Q).

Author(s)

Eirik Myrvoll-Nilsen, [e-mail]

Examples

n=100
sigma=1
rho=0.8
Q = Qmaker_ar1cum(n,sigma,rho)

nsims = 1000
muvek = seq(1,5,length.out=n)
samples = Qsimmer(nsims,Q,muvek)

eirikmn/bremla documentation built on Jan. 25, 2025, 4:41 a.m.