generate_multivariate_normal_sample {FRCC}

It generates a sample from a multivariate normal distribution function

Description

It generates a sample from a multivariate normal distribution function with the cross-covariance matrix described in [Cruz-Cano et al. 2012].

Usage

generate_multivariate_normal_sample(p, q, n)

Arguments

p

Number of desired variables in the dataset X.

q

Number of desired variables in the dataset Y.

n

sample size desired.

Value

A list of n sample units with the values for the variables of the data sets X and Y.

Author(s)

Raul Cruz-Cano

References

Cruz-Cano, R.; Lee, M.L.T.; Fast Regularized Canonical Correlation Analysis, Computational Statistics & Data Analysis, Volume 70, 2014, Pages 88-100, ISSN 0167-9473, https://doi.org/10.1016/j.csda.2013.09.020.

Examples

p<-10
q<-10
n<-50
res<-generate_multivariate_normal_sample(p,q,n)
X<-res$X
Y<-res$Y
rownames(X)<-c(1:n)
colnames(X)<-c(1:p)
colnames(Y)<- c(1:q)
my_res<-frcc(X,Y)