z_correlated_normal {drape}

Generate n copies of Z ~ N_p(0,Sigma), where Sigma_jj = 1, Sigma_jk = corr for all j not equal to k.

Description

Generate n copies of Z ~ N_p(0,Sigma), where Sigma_jj = 1, Sigma_jk = corr for all j not equal to k.

Usage

z_correlated_normal(n, p, corr)

Arguments

n

integer number of samples.

p

integer number of dimensions.

corr

float correlation in (-1,1).

Value

n by p matrix.