sim_matgaussian {bvhar} | R Documentation |
Generate Matrix Normal Random Matrix
Description
This function samples one matrix gaussian matrix.
Usage
sim_matgaussian(mat_mean, mat_scale_u, mat_scale_v)
Arguments
mat_mean |
Mean matrix |
mat_scale_u |
First scale matrix |
mat_scale_v |
Second scale matrix |
Details
Consider n x k matrix where M is n x k, U is n x n, and V is k x k.
Lower triangular Cholesky decomposition:
and
Standard normal generation: s x m matrix
in row-wise direction.
-
This function only generates one matrix, i.e. .
Value
One n x k matrix following MN distribution.
[Package bvhar version 2.0.1 Index]