rqmvnorm: Random sample from the multivariate normal distribution
Description
Draw a quasi or pseudo random sample from the MVN distribution. For
details on the implemented lattice rule for quasi-random numbers see
Cools et al. (2006).
Usage
rqmvnorm(n, mean = rep(0, nrow(sigma)), sigma = diag(length(mean)),
type = c("quasirandom", "pseudorandom"))
Arguments
n
Number of samples, when type = "quasirandom" is used this
number is rounded up to the next power of 2 (e.g. 1000 to 1024=2^10)
and at least 1024.
mean
Mean vector
sigma
Covariance matrix
type
What type of random numbers to use. quasirandom
uses a randomized Lattice rule, and should be more efficient than
pseudorandom that uses ordinary (pseudo) random numbers.
Value
Matrix of simulated values
References
Cools, R., Kuo, F. Y., and Nuyens, D. (2006) Constructing embedded
lattice rules for multivariate integration. SIAM Journal of Scientific
Computing, 28, 2162-2188.