amen (version 1.0)

rmvnorm: Simulation from a multivariate normal distribution

Description

Simulates a matrix where the rows are i.i.d. samples from a multivariate normal distribution

Usage

rmvnorm(n, mu, Sigma, Sigma.chol = chol(Sigma))

Arguments

n

sample size

mu

multivariate mean vector

Sigma

covariance matrix

Sigma.chol

Cholesky factorization of Sigma

Value

• a matrix with n rows

Examples

## The function is currently defined as
function (n, mu, Sigma, Sigma.chol = chol(Sigma))
{
    E <- matrix(rnorm(n * length(mu)), n, length(mu))
    t(t(E %*% Sigma.chol) + c(mu))
  }