rqmvnorm: Random sample from the multivariate normal distribution
Description
Draw a quasi or pseudo random sample from the MVN distribution. For details
on the implemented lattice rule for quasi-random numbers see Cools et al.
(2006).
Usage
rqmvnorm(
n,
mean = rep(0, nrow(sigma)),
sigma = diag(length(mean)),
type = c("quasirandom", "pseudorandom")
)
Value
Matrix of simulated values
Arguments
n
Number of samples, when type = "quasirandom" is used this number is
rounded up to the next power of 2 (e.g. 1000 to 1024=2^10) and at least
1024.
mean
Mean vector
sigma
Covariance matrix
type
What type of random numbers to use. quasirandom uses a
randomized Lattice rule, and should be more efficient than
pseudorandom that uses ordinary (pseudo) random numbers.
Cools, R., Kuo, F. Y., and Nuyens, D. (2006) Constructing
embedded lattice rules for multivariate integration. SIAM Journal of
Scientific Computing, 28, 2162-2188.