R/rmulnorm.R

In musto101/wilcox_R: What the package does (short line)

rmulnorm <-
function(n,p,cmat,SEED=FALSE){
#
# Generate data from a multivariate normal
# n= sample size
# p= number of variables
# cmat is the covariance (or correlation) matrix
#
# Method (e.g. Browne, M. W. (1968) A comparison of factor analytic
# techniques. Psychometrika, 33, 267-334.
#  Let U'U=R be the Cholesky decomposition of R. Generate independent data
#  from some dist yielding X. Then XU has population correlation matrix R
#
if(SEED)set.seed(2)
y<-matrix(rnorm(n*p),ncol=p)
rval<-matsqrt(cmat)
y<-t(rval%*%t(y))
y
}