draw.d.variate.normal {MultiRNG} | R Documentation |
Pseudo-Random Number Generation under Multivariate Normal Distribution
Description
This function implements pseudo-random number generation for a multivariate normal distribution with pdf
for and
,
is symmetric and positive definite, where
and
are the mean vector and the variance-covariance matrix, respectively.
Usage
draw.d.variate.normal(no.row,d,mean.vec,cov.mat)
Arguments
no.row |
Number of rows to generate. |
d |
Number of variables to generate. |
mean.vec |
Vector of means. |
cov.mat |
Variance-covariance matrix. |
Value
A matrix of generated data.
Examples
cmat<-matrix(c(1,0.2,0.3,0.2,1,0.2,0.3,0.2,1), nrow=3, ncol=3)
meanvec=c(0,3,7)
mydata=draw.d.variate.normal(no.row=1e5,d=3,mean.vec=meanvec,cov.mat=cmat)
apply(mydata,2,mean)-meanvec
cor(mydata)-cmat
[Package MultiRNG version 1.2.4 Index]