mvrnorm

0th

Percentile

Simulate from a Multivariate Normal Distribution

Produces one or more samples from the specified multivariate normal distribution.

Keywords
multivariate, distribution
Usage
mvrnorm(n = 1, mu, Sigma, tol = 1e-6, empirical = FALSE, EISPACK = FALSE)
Arguments
n

the number of samples required.

mu

a vector giving the means of the variables.

Sigma

a positive-definite symmetric matrix specifying the covariance matrix of the variables.

tol

tolerance (relative to largest variance) for numerical lack of positive-definiteness in Sigma.

empirical

logical. If true, mu and Sigma specify the empirical not population mean and covariance matrix.

EISPACK

logical: values other than FALSE are an error.

Details

The matrix decomposition is done via eigen; although a Choleski decomposition might be faster, the eigendecomposition is stabler.

Value

If n = 1 a vector of the same length as mu, otherwise an n by length(mu) matrix with one sample in each row.

Side Effects

Causes creation of the dataset .Random.seed if it does not already exist, otherwise its value is updated.

References

B. D. Ripley (1987) Stochastic Simulation. Wiley. Page 98.

rnorm

• mvrnorm
Examples
# NOT RUN {
Sigma <- matrix(c(10,3,3,2),2,2)
Sigma
var(mvrnorm(n = 1000, rep(0, 2), Sigma))
var(mvrnorm(n = 1000, rep(0, 2), Sigma, empirical = TRUE))
# }

Documentation reproduced from package MASS, version 7.3-49, License: GPL-2 | GPL-3

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