A basic function for doing multivariate normal simulations via the cholesky decomposition of the covariance matrix. Function is based on one by Peter Hoff.
rmvnorm(n, mu, Sigma, chol.Sigma = chol(Sigma))number of draws
the K-dimensional mean
the K by K dimensional positive definite covariance matrix
the cholesky decomposition of the Sigma matrix.
This is a pretty standard multivariate normal generator. It could almost certainly be faster if we ported it over to RcppArmadillo but it isn't used a ton at the moment.