Description Usage Arguments Details Value Examples

Generates correlated random variables by the matrix square-root method.

1 |

`n` |
Number of random multivariate draws. |

`covmat` |
The covariance matrix with which to obtain correlations. |

`rfunc` |
Function that returns a vector of random
draws from a particular distribution. The first argument
of |

`method` |
The method for taking the matrix
square-root. Currently only |

`...` |
Further arguments to pass to |

The number, `m`

, of variables generated per each of
the `n`

observations is equal to the number of rows
(or columns) of `covmat`

. `rfunc`

is used to
fill an `n`

by `m`

matrix of uncorrelated
observations. This matrix is multiplied by the matrix
square-root (`msr`

) to obtain a matrix of
`m`

correlated random variables.

A matrix with rows giving observations and columns giving correlated variables.

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rmv documentation built on May 31, 2017, 5:05 a.m.

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