rmatnorm {telefit}

Simulate matrices from matrix normal distributions

Description

Draw random matrices from the matrix normal distribution

MN(M, U, V)

Note that an observation, X, from this equation has the following distribution when vectorized

vec(X) ~ N(vec(M), kron(V, U) )

Usage

rmatnorm(n, U, V, M = matrix(0, nrow = nrow(U), ncol = nrow(V)))

Arguments

n

Number of random matrices to simulate

U

Covariance matrix defining dependence between rows

V

Covariance matrix defining dependence between columns

M

average value of each entry in the sampled matrices