mvn_sup {robust2sls}

Multivariate normal supremum simulation

Description

mvn_sup simulates the distribution of the supremum of the specified multivariate normal distribution by drawing repeatedly from the multivariate normal distribution and calculating the maximum of each vector.

Usage

mvn_sup(n, mu, Sigma, seed = NULL)

Arguments

n

An integer determining the number of draws from the multivariate normal distribution.

mu

A numeric vector representing the mean of the multivariate normal distribution.

Sigma

A numeric matrix representing the variance-covariance matrix of the mutlivariate normal distribution.

seed

An integer setting the random seed or NULL if it should not be set.

Value

mvn_sup returns a vector of suprema of length n.