BSBT (version 1.2.1)

mvnorm_chol: Draw a sample from a multivariate normal distribution

Description

This draws a sample from a multivariate normal distribution with mean vector mu and covariance matrix Sigma. It requires the covariance matrix to be decomposed using the Cholesky method (chol).

Usage

mvnorm_chol(mu, chol)

Value

a vector containing a sample from the distribution

Arguments

mu

The mean vector

chol

The cholesky decomposition of the covariance matrix Sigma

Examples

mu <- c(2, 1) #mean vector
sigma <- matrix(c(2^2, 0.5*2*1, 0.5*2*1, 1^2), 2, 2) #covariacne matrix
sigma.chol <- chol(sigma) #decompose covariance matrix
#f <- mvnorm_chol(mu, sigma.chol) #draw sample