mev (version 1.11)

mvrnorm: Multivariate Normal distribution sampler

Description

Sampler derived using the eigendecomposition of the covariance matrix Sigma. The function uses the Armadillo random normal generator

Usage

mvrnorm(n, mu, Sigma)

Arguments

n

sample size

mu

mean vector. Will set the dimension

Sigma

a square covariance matrix, of same dimension as mu. No sanity check is performed to validate that the matrix is p.s.d., so use at own risk

Value

an n sample from a multivariate Normal distribution

Examples

# NOT RUN {
mvrnorm(n=10, mu=c(0,2), Sigma=diag(2))
# }