rmvnorm_cholesky: Generate multivariate Normals

In pierrejacob/PET:

Description

Function to generate draws from a multivariate Normal distribution, given Cholesky factor of the covariance.

Usage

rmvnorm_cholesky(n, mean, cholesky)

Arguments

n	is the number of desired samples
mean	is the mean vector
cholesky	is the cholesky factor of the covariance matrix, obtained e.g. with chol().

Details

This function does not check anything (i.e. that the given covariance is PSD). Thus it is faster than functions in standard packages, but more risky.

Value

a n x d matrix where d is both the length of mean and the dimension of cholesky. Each row contains a draw from the desired multivariate Normal.

See Also

rmvnorm, dmvnorm, dmvnorm_cholesky_inverse

Examples

rmvnorm_cholesky(10, rep(0, 5), chol(diag(1, 5, 5)))

pierrejacob/PET documentation built on May 25, 2019, 11:35 p.m.