cmvrnorm: cmvrnorm

In xinchoubiology/RGallery: RGallery: A Package for 3 questions in Stochastic Average Gradient Project

Description

Produces one or more samples from specified multivariate normal distribution by C-plus-plus

Usage

cmvrnorm(n, mu, Sigma)

Arguments

n	the number of samples required. Default 1.
mu	a vector giving the means of variables.
Sigma	a positive-definite symmetric specifying the covariance matrix of variabless

Details

Get multiple variable normal distribution via Choleski decompsition and Rcpp

Value

mat a matrix of n samples of p variables on p-mvr

Author(s)

Eric xin Zhou [e-mail]

Examples

sigma <- matrix(c(1, 0.9, -0.3, 0.9, 1, -0.4, -0.3, -0.4, 1), ncol = 3)
mu <- c(10, 5, -3)
var(cmvrnorm(10, mu,  sigma))

xinchoubiology/RGallery documentation built on May 4, 2019, 1:06 p.m.