Draw random matrices from the matrix normal distribution
MN(M, U, V)
Note that an observation, X, from this equation has the following distribution when vectorized
vec(X) ~ N(vec(M), kron(V, U) )
1 |
n |
Number of random matrices to simulate |
U |
Covariance matrix defining dependence between rows |
V |
Covariance matrix defining dependence between columns |
M |
average value of each entry in the sampled matrices |
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