MSBVAR (version 0.9-2)

rmultnorm: Multivariate Normal Random Number Generator

Description

Generates multivariate normal random variates for give mean and covariance vectors. Can also handle generation of multivariate normal deviates with singular covariance distributions via singular value decomposition (SVD).

Usage

rmultnorm(n, mu, vmat, tol = 1e-10)

Arguments

n

Number of variates to draw.

mu

$m$ column matrix of multivariate means

vmat

$m xm$ covariance matrix

tol

Tolerance level used for SVD of the covariance. Default is 1e-10

Value

Matrix of the random draw that is conformable with the input mu.

Details

Generates $n$ draws from a multivariate normal distribution with mean matrix mu and covariance matrix vmat.

See Also

rnorm

Examples

rmultnorm(1, matrix(c(1,2),2,1), vmat=matrix(c(1,1,0,1),2,2))