rsmvnorm:
Simulating Continuous Random Vectors from a Multivariate Normal Distribution
Description
Utility function to simulate continuous random vectors from a multivariate normal distribution such that all the marginal distributions are univariate standard normal.
Usage
rsmvnorm(R = R, cor.matrix = cor.matrix)
Arguments
R
integer indicating the sample size.
cor.matrix
matrix indicating the correlation matrix of the multivariate normal distribution.
Value
Returns R random vectors of size equal to the row dimension of cor.matrix.
Details
Checks are made to ensure that cor.matrix is a positive definite correlation matrix. This is determined by the eigenvalues.