rmvnorm: Draw from multivariate normal distribution

In loelschlaeger/RprobitB: Bayesian Probit Choice Modeling

Draw from multivariate normal distribution

Description

This function draws from a multivariate normal distribution.

Usage

rmvnorm(mu, Sigma)

Arguments

mu	The mean vector of length n.
Sigma	The covariance matrix of dimension n x n.

Details

The function builds upon the following fact: If \epsilon = (\epsilon_1,\dots,\epsilon_n), where each \epsilon_i is drawn independently from a standard normal distribution, then \mu+L\epsilon is a draw from the multivariate normal distribution N(\mu,\Sigma), where L is the lower triangular factor of the Choleski decomposition of \Sigma.

Value

A numeric vector of length n.

Examples

mu <- c(0,0)
Sigma <- diag(2)
rmvnorm(mu = mu, Sigma = Sigma)

loelschlaeger/RprobitB documentation built on Oct. 15, 2024, 11:08 a.m.