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telefit (version 1.0.3)

rmatnorm: Simulate matrices from matrix normal distributions

Description

Draw random matrices from the matrix normal distribution $$MN(M, U, V)$$ Note that an observation, \(X\), from this equation has the following distribution when vectorized $$vec(X) ~ N(vec(M), kron(V, U) )$$

Usage

rmatnorm(n, U, V, M = matrix(0, nrow = nrow(U), ncol = nrow(V)))

Arguments

n

Number of random matrices to simulate

U

Covariance matrix defining dependence between rows

V

Covariance matrix defining dependence between columns

M

average value of each entry in the sampled matrices