mvn.gibbs {stableGR}

Two block Gibbs sampler for a multivariate normal distribution

Description

This function generates a Markov chain sample from a multivariate normal distribution using a two-block Gibbs sampler. The function is used mainly for implementation in the examples of this package.

Usage

mvn.gibbs(N = 10000, p, mu, sigma)

Arguments

N

number of Markov chain samples desired

p

dimension of the multivariate normal target distribution

mu

mean vector of the multivariate normal distribution

sigma

covariance matrix of the multivariate normal distribution

Value

N by p matrix of samples from the multivariate normal target distribution